Nonlinearity Induced Weak Instrumentation

DOI10.1080/07474938.2013.825181zbMath1491.62106OpenAlexW1988369343MaRDI QIDQ5080464

Ioannis Kasparis, Tassos Magdalinos, Peter C. B. Phillips

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d18/d1872.pdf

zbMATH Keywords

invariance principlelocal timestationarityunit rootsintegrated processinstrumental variablesweak instrumentsintegrable functionnonlinear cointegrationmixed normality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (3)

Robust econometric inference with mixed integrated and mildly explosive regressors ⋮ Estimating smooth structural change in cointegration models ⋮ Nonparametric predictive regression

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