Models with Several Regimes and Changes in Exogeneity
定义了一类灵活的多个机制模型，允许“内生”与“外生”变量的划分随时间变化，并以政策制定者切换工具的经济为例进行说明，对计量经济学研究者有用。
In recent years, increasing attention has been devoted to models with a finite (usually\nsmall) number of regimes. Various strategies have been discussed in the literature to\nhandle situations where each regime is characterized by a different value of a common\nparameter vector. See e.g. Barten and Bronsard (1970), Goldfeld and Quandt (1973),\nPoirier (1976),... . It appears however that no satisfactory treatment has yet been given to\ncases where the partitioning between " endogenous " and " exogenous " variables changes\nover time. Our objective is therefore to define a class of models with several regimes which\nis flexible enough to cover such situations.\nFor convenience, we shall illustrate our argument by reference to an economy which is\n"controlled " by a policy maker shifting between instruments at some, possibly unknown,\npoints of time. For tractability we shall mainly restrict our attention to a class of dynamic\nlinear models although the concepts we introduce apply in a much broader framework.\nThe possibility that the switching times could be endogenous to the model, such as in\ndisequilibrium models will not be investigated here: work in progress indicates however\nthat our approach can be extended in such directions.\nThe paper is organized as follows: In Section 2 we shall discuss at length the issues to\nbe faced by means of a simple example, taken from Goldfeld and Quandt (1973). In\nSection 3 we shall introduce the concepts which are needed for our analysis; linear\ndynamic models, LIML estimation and exogeneity. In Section 4, we shall discuss models\nwith several regimes and concentrate in particular on imposing appropriate restrictions on\nthe parameters characterizing different regimes. It will be shown that it is possible to\npreserve some of the operational features of LIML procedures.