DP15210 Time-Varying Instrumental Variable Estimation
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.