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l_1
2011 Aug 01
1
ivreg and structural change
Hello,
I am looking for some help with this question: how could I test structural
breaks in a instrumental variables´s model?
For example, I was trying to do something with my model with three time
series.
tax_ivreg <- ivreg(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1)+lag(l_x2, -2)+
lag(l_x1, -1)+lag(l_x1, -2)+lag(l_y, -1)+lag(l_y, -2), data=tax1)
summary(tax_ivreg)
## after estimating it, something weird happened with the several tests in
package "strucchange". For example:
cusum <- efp(l_y ~ l_x2 + l_x1+ dl_y | lag(l_x2, -1...