Time-varying instrumental variable estimation

Liudas Giraitis, George Kapetanios and Massimiliano Marcellino

Journal of Econometrics, 2021, vol. 224, issue 2, 394-415

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.

Keywords: Instrumental variables; Time-varying parameters; Endogeneity; Hausman test; Non-parametric methods; Phillips curve (search for similar items in EconPapers)
JEL-codes: C14 C26 C51 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Time-Varying Instrumental Variable Estimation (2020)
Working Paper: Time-Varying Instrumental Variable Estimation (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:224:y:2021:i:2:p:394-415

DOI: 10.1016/j.jeconom.2020.08.013

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