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

摘要

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)