Irrelevant but highly persistent instruments in stationary regressions with endogenous variables containing near-to-unit roots.

This paper suggests that IV estimators, utilizing irrelevant but persistent instruments mai produce reliable inferences, in small samples, in cases where the endogenous variables contaii autoregressive roots near unity. In such cases, these estimators appear to outperform IV estimator: with strong instruments as well as some asymptotically efficient cointegration estimators.

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Year of publication:	2006
Authors:	Panopoulou, Ekaterini ; Kourogenis, Nicolaos ; Pittis, Nikitas
Institutions:	Department of Economics, National University of Ireland
Subject:	Instrumental variables estimator \| persistent instruments \| near-to-unit roots

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Extent:	application/pdf
Series:	Economics, Finance and Accounting Department Working Paper Series.
Type of publication:	Book / Working Paper
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010954102