Nonlinearity Induced Weak Instrumentation

• 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
• Institution: Singapore Management University

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...