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Time-varying instrumental variable estimation
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DOI：10.1016/j.jeconom.2020.08.013.png)
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Abstract
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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. (C) 2020 Elsevier B.V. All rights reserved.
Keywords:
Instrumental variables
Time-varying parameters
Endogeneity
Hausman test
Non-parametric methods
Phillips curve
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