Nonlinearity induced weak instrumentation

DOI10.1080/07474938.2013.825181zbMATH Open1491.62106OpenAlexW1988369343MaRDI QIDQ5080464FDOQ5080464

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

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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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Cited In (6)

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

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