Testing for Structural Change by D-Methods in Switching Simultaneous Equations Models.

Abstract

The paper presents an extension of the Goldfeld-Quant D-method to switching simultaneous equation systems with endogenous switching. The method is useful to apply tests for equality of coefficients across regimes in switching simultaneous equation systems with selectivity. The paper derives the valid instrumental variables to use in this situation, the asymptotic covariance matrix of the suggested estimator and gives an empirical illustration. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1982
Accession Number
ADA112482

Entities

People

  • G. S. Maddala
  • Lung-fei Lee
  • R. P. Trost

Organizations

  • Center for Naval Analyses

Tags

Communities of Interest

  • Air Platforms
  • C4I
  • Energy and Power Technologies
  • Human Systems
  • Space

DTIC Thesaurus Topics

  • Coefficients
  • Covariance
  • Diffusion Theory
  • Education
  • Equations
  • Estimators
  • Families (Human)
  • Maximum Likelihood Estimation
  • Observation
  • Path Integrals
  • Position Finding
  • Rural Areas
  • Simultaneous Equations
  • Statistical Tests
  • Statistics
  • Students
  • Universities

Fields of Study

  • Mathematics

Readers

  • Computer Engineering
  • Regression Analysis.