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Kernel-based Time-Varying IV estimation: handle with care

Riccardo (Jack) Lucchetti and Francesco Valentini

MPRA Paper from University Library of Munich, Germany

Abstract: Giraitis, Kapetanios, and Marcellino (Journal of Econometrics, 2020) 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 small coding mistake might have affected some of the reported results. Further, we extend the results by using a different sample and many kernel functions; 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 C51 (search for similar items in EconPapers)
Date: 2021-10-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Kernel-based time-varying IV estimation: handle with care (2023) Downloads
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