Arbeitspapier

Time-varying instrumental variable estimation

We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients can vary over time either deterministically or stochastically, and the time-varying and uniform versions of the standard Hausman exogeneity test. After deriving the asymptotic properties of the proposed procedures, we assess their finite sample performance by means of a set of Monte Carlo experiments, and illustrate their application by means of an empirical example on the Phillips curve.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 911

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
Model Construction and Estimation
Thema
Instrumental variables
Time-varying parameters
endogeneity
Hausman test
Non-parametric methods
Phillips curve

Ereignis
Geistige Schöpfung
(wer)
Giraitis, Liudas
Kapetanios, George
Marcellino, Massimiliano
Ereignis
Veröffentlichung
(wer)
Queen Mary University of London, School of Economics and Finance
(wo)
London
(wann)
2020

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Giraitis, Liudas
  • Kapetanios, George
  • Marcellino, Massimiliano
  • Queen Mary University of London, School of Economics and Finance

Entstanden

  • 2020

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