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Kernel-based time-varying IV estimation: handle with care

Riccardo (Jack) Lucchetti and Francesco Valentini

Empirical Economics, 2023, vol. 65, issue 6, No 16, 3026 pages

Abstract: Abstract Giraitis et al. (J Econom 224(2):394–415, 2021) proposed a kernel-based time-varying coefficients IV estimator. By using entirely different code, we broadly replicate the simulation results and the empirical application on the Phillips curve, but we note that a possible oversight might have affected some of the reported results. Further, we extend the results by using a different sample and a wider choice of smoothing kernels, including data-based ones; we find that the estimator is remarkably robust across a wide range of smoothing choices, but the effect of outliers may be less obvious than expected.

Keywords: Instrumental variables; Time-varying parameters; Hausman test; Phillips curve (search for similar items in EconPapers)
JEL-codes: C14 C26 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00181-023-02450-6

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