Discussion paper

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.

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Citation

Marcellino, M, G Kapetanios and L Giraitis (2020), ‘DP15210 Time-Varying Instrumental Variable Estimation‘, CEPR Discussion Paper No. 15210. CEPR Press, Paris & London. https://cepr.org/publications/dp15210