Time-Varying Instrumental Variable Estimation

Massimiliano Marcellino, George Kapetanios and Liudas Giraitis

No 15210, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Date: 2020-08
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Related works:
Journal Article: Time-varying instrumental variable estimation (2021)
Working Paper: Time-Varying Instrumental Variable Estimation (2020)
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