Time-varying instrumental variable estimation

DOI10.1016/J.JECONOM.2020.08.013MaRDI QIDQ2236874zbMATH OpenOpenAlexFDO

Authors L. 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

endogeneityinstrumental variablesPhillips curvetime-varying parametersnon-parametric methodshausman test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Inference on stochastic time-varying coefficient models
• Inference regarding multiple structural changes in linear models with endogenous regressors
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• Modeling structural breaks in economic relationships using large shocks
• Specification Tests in Econometrics
• Testing Models of Low-Frequency Variability
• Testing for smooth structural changes in time series models via nonparametric regression
• Testing for the Constancy of Parameters Over Time
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Cusum Test with Ols Residuals
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(2)

• Specification tests for time-varying coefficient models
• Estimation and Inference on Time-Varying FAVAR Models

Describes a project that uses

Uses Software

• bvarsv

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