Irrelevant but highly persistent instruments in stationary regressions with endogenous varables containing near-to-unit roots.
Panopoulou, Dr. Ekaterini and Kourogenis, Nicolaos and Pittis, Nikitas (2005) Irrelevant but highly persistent instruments in stationary regressions with endogenous varables containing near-to-unit roots. . AbstractThis 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. Repository Staff Only: item control page
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