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Panopoulou, Dr. Ekaterini, Kourogenis, Nicolaos and Pittis, Nikitas (2005) Irrelevant but highly persistent instruments in stationary regressions with endogenous varables containing near-to-unit roots. UNSPECIFIED. (Unpublished)
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Abstract
This paper suggests that IV estimators, utilizing irrelevant but persistent instruments may produc reliable inferences, in small samples, in cases where the endogenous variables contain autoregressive roots near unity. In such cases, these estimators appear to outperform IV estimators with strong instruments as will as some asymptotically efficent cointegration estimators.
| Item Type: | Other |
|---|---|
| Additional Information: | Department of Economics Working paper series N162/1/06 |
| Keywords: | Instrumental variables estimator, persistent instruments, near-to-unit roots. |
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 274 |
| Depositing User: | Ms Sandra Doherty |
| Date Deposited: | 07 Feb 2006 |
| Refereed: | No |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/274 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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