| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15210 |
| DP15210 Time-Varying Instrumental Variable Estimation | |
| Massimiliano Marcellino; George Kapetanios; Liudas Giraitis | |
| 发表日期 | 2020-08-27 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp15210 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544181 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,George Kapetanios,Liudas Giraitis. DP15210 Time-Varying Instrumental Variable Estimation. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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