Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247180 
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 911
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients can vary over time either deterministically or stochastically, and the time-varying and uniform versions of the standard Hausman exogeneity test. After deriving the asymptotic properties of the proposed procedures, we assess their finite sample performance by means of a set of Monte Carlo experiments, and illustrate their application by means of an empirical example on the Phillips curve.
Subjects: 
Instrumental variables
Time-varying parameters
endogeneity
Hausman test
Non-parametric methods
Phillips curve
JEL: 
C14
C26
C51
Document Type: 
Working Paper

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