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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |