Time-Varying Instrumental Variable Estimation
George Kapetanios and
Additional contact information
Luidas Giraitis: Queen Mary University of London
George Kapetanios: King's College London
No 911, Working Papers from Queen Mary University of London, School of Economics and Finance
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)
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: Track citations by RSS feed
Downloads: (external link)
https://www.qmul.ac.uk/sef/media/econ/research/wor ... wp911_compressed.pdf (application/pdf)
Working Paper: Time-Varying Instrumental Variable Estimation (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:911
Access Statistics for this paper
More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ( this e-mail address is bad, please contact ).