Time-varying instrumental variable estimation
From MaRDI portal
Publication:2236874
DOI10.1016/j.jeconom.2020.08.013OpenAlexW3112877870MaRDI QIDQ2236874
Liudas Giraitis, George Kapetanios, Massimiliano Marcellino
Publication date: 26 October 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2020/wp911_compressed.pdf
endogeneitytime-varying parametersPhillips curveinstrumental variablesnon-parametric methodshausman test
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Inference regarding multiple structural changes in linear models with endogenous regressors
- Estimation and inference in unstable nonlinear least squares models
- Modeling structural breaks in economic relationships using large shocks
- Fitting time series models to nonstationary processes
- Efficient estimation with time-varying information and the New Keynesian Phillips curve
- Modeling and testing smooth structural changes with endogenous regressors
- Inference on stochastic time-varying coefficient models
- Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
- Efficient Estimation of the Parameter Path in Unstable Time Series Models
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- Testing Models of Low-Frequency Variability
- Testing for the Constancy of Parameters Over Time
- The Cusum Test with Ols Residuals
- Specification Tests in Econometrics
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Estimating and Testing Linear Models with Multiple Structural Changes
- Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
- Time Varying Structural Vector Autoregressions and Monetary Policy
This page was built for publication: Time-varying instrumental variable estimation