Time-varying instrumental variable estimation

DOI10.1016/j.jeconom.2020.08.013MaRDI 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

zbMATH Keywords

endogeneity; time-varying parameters; Phillips curve; instrumental variables; non-parametric methods; hausman test

Mathematics Subject Classification ID

62-XX: Statistics

91-XX: Game theory, economics, finance, and other social and behavioral sciences

Uses Software

• bvarsv

Cites Work

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