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Time-Varying Instrumental Variable Estimation

Luidas Giraitis, George Kapetanios and Massimiliano Marcellino
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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

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: 2020-08-17
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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