Nonlinearity Induced Weak Instrumentation

Nonlinearity Induced Weak Instrumentation

In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonline...

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Bibliographic Details
Main Authors: Kasparis, Ioannis, Peter C. B. PHILLIPS, Magdalinos, Tassos
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Instrumental variables
Integrable function
Integrated process
Invariance principle
Local time
Mixed normality
Nonlinear cointegration
Stationarity
Unit roots
Weak instruments
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1837
https://ink.library.smu.edu.sg/context/soe_research/article/2836/viewcontent/IVpcb61.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1837
https://ink.library.smu.edu.sg/context/soe_research/article/2836/viewcontent/IVpcb61.pdf

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