Time-Varying Instrumental Variable Estimation

63 Pages Posted: 12 Sep 2020

See all articles by Liudas Giraitis

Liudas Giraitis

Queen Mary

George Kapetanios

King's College, London

Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Date Written: August 1, 2020

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.

Suggested Citation

Giraitis, Liudas and Kapetanios, George and Marcellino, Massimiliano, Time-Varying Instrumental Variable Estimation (August 1, 2020). CEPR Discussion Paper No. DP15210, Available at SSRN: https://ssrn.com/abstract=3688163

Liudas Giraitis (Contact Author)

Queen Mary ( email )

Mile End Road
London, London E1 4NS
United Kingdom

HOME PAGE: http://www.econ.qmul.ac.uk/people/liudas-giraitis

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Massimiliano Marcellino

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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