Time-Varying Instrumental Variable Estimation

Liudas Giraitis, George Kapetanios, Massimiliano Marcellino

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)
39 Downloads (Pure)

Abstract

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.
Original languageEnglish
Pages (from-to)394-415
JournalJOURNAL OF ECONOMETRICS
Volume224
Issue number2
Early online date24 Aug 2021
DOIs
Publication statusE-pub ahead of print - 24 Aug 2021

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