Search Results - subject:"nonlinear instruments"

A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels

Miller, J. Isaac - Economics Department, University of Missouri - 2010

A test for the rank of a vector error correction model (VECM) or panel VECM based on the well-known trace test is proposed. The proposed test employs instrumental variables (IV's) generated by a class of nonlinear functions of the estimated stochastic trends of the VECM under the null. The test...

Persistent link: https://www.econbiz.de/10008462849

Nonlinear Instrumental Variable Estimation of an Autoregression

Phillips, Peter C.B.; Park, Joon Y.; Chang, Yoosoon - Cowles Foundation for Research in Economics, Yale University - 2001

studied. The context of the discussion is the simple unit root model where certain advantages to the use of nonlinear … instruments are revealed. In particular, certain classes of IV estimators and associated t-tests are shown to have simpler …

Persistent link: https://www.econbiz.de/10004990782