Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2 SLS

  title={Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2 SLS},
  author={Alastair R. Hall and Sanggohn Han and Otilia Boldea},
In this paper, we present a limiting distribution theory for the break point estimator in a linear regression model estimated via Two Stage Least Squares under two different scenarios regarding the magnitude of the parameter change between regimes. First, we consider the case where the parameter change is of fixed magnitude; in this case the resulting distribution depends on distribution of the data and is not of much practical use for inference. Second, we consider the case where the magnitude… CONTINUE READING


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