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Title: Time-Varying Instrumental Variable Estimation

Author(s): Liudas Giraitis, george kapetanios and Massimiliano Marcellino

Publication Date: August 2020

Keyword(s):

Programme Area(s): Monetary Economics and Fluctuations

Abstract: We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients can vary over time either deterministically or stochastically, and the time-varying and uniform versions of the standard Hausman exogeneity test. After deriving the asymptotic properties of the proposed procedures, we assess their finite sample performance by means of a set of Monte Carlo experiments, and illustrate their application by means of an empirical example on the Phillips curve.

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Bibliographic Reference

Giraitis, L, kapetanios, g and Marcellino, M. 2020. 'Time-Varying Instrumental Variable Estimation'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=15210