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
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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
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Objekttyp
- Arbeitspapier
Beteiligte
- Giraitis, Liudas
- Kapetanios, George
- Marcellino, Massimiliano
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2020