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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. 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 (Unpublished)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.
Subjects: Social Sciences > Economics
Item ID: 274
Depositing User: Ms Sandra Doherty
Date Deposited: 07 Feb 2006
Refereed: No
URI:

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