Nonlinearity induced weak instrumentation

DOI10.1080/07474938.2013.825181MaRDI QIDQ5080464zbMATH OpenOpenAlexFDO

Authors Ioannis Kasparis, Peter C. B. Phillips, Tassos Magdalinos

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d18/d1872.pdf

zbMATH Keywords

stationarityinstrumental variablesunit rootsweak instrumentslocal timenonlinear cointegrationinvariance principleintegrable functionintegrated processmixed normality

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Misspecification tests and their uses in econometrics
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• Structural nonparametric cointegrating regression

Cited in

(6)

• Estimating smooth structural change in cointegration models
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Nonlinear instrumental variable estimation of an autoregression.
• OLS and IV estimation of regression models including endogenous interaction terms
• Convergency and divergency of functional coefficient weak instrumental variables models
• Nonparametric predictive regression

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