Nonlinear instrumental variable estimation of an autoregression
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چکیده
منابع مشابه
Nonlinear Instrumental Variable Estimation of an Autoregression1
Instrumental variable (IV) estimation methods that allow for certain nonlinear functions of the data as instruments are 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 (standard) limit theory in contrast ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2004
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00141-6