Robust econometric inference with mixed integrated and mildly explosive regressors
This paper explores in several prototypical models a convenient inference procedure for nonstationary variable regression that enables robust chi-square testing for a wide class of persistent and endogenous regressors. The approach uses the mechanism of self-generated instruments called IVX instrume...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1935 https://ink.library.smu.edu.sg/context/soe_research/article/2934/viewcontent/RobustEconometricInferenceMixedIntegratedMildlyExplosiveRegressors_2014_pp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |