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Nonlinear Instrumental Variable Estimation of an Autoregression

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Author Info
Peter C.B. Phillips () (Cowles Foundation, Yale University)
Joon Y. Park (Seoul National University)
Yoosoon Chang (Rice University)

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Abstract

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 to the least squares estimator, providing an opportunity for the study of optimal estimation in certain IV classes and furnishing tests and confidence intervals that allow for unit root and stationary alternatives. The Cauchy estimator studied in recent work by So and Shin (1999) is shown to have such an optimality property in the class of certain IV procedures with bounded instruments.

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File URL: http://cowles.econ.yale.edu/P/cd/d13a/d1331.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1331.

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Length: 30 pages
Date of creation: Sep 2001
Date of revision:
Publication status: Published in Journal of Econometrics (2004), 118(1-2): 219-246
Handle: RePEc:cwl:cwldpp:1331

Note: CFP 1087.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Cauchy estimator; instrumental variable autoregression; nonlinear instruments; sojourn time; unit root;

Other versions of this item:

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

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  1. Chang, Yoosoon, 2004. "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers 2004-05, Rice University, Department of Economics. [Downloadable!]
  2. Tsung-wu Ho, 2009. "The inflation rates may accelerate after all: panel evidence from 19 OECD economies," Empirical Economics, Springer, vol. 36(1), pages 55-64, February. [Downloadable!] (restricted)
  3. Yoosoon Chang, 2000. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," CIRJE F-Series CIRJE-F-85, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:
  4. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics. [Downloadable!]
  5. Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics. [Downloadable!]
  6. Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics. [Downloadable!]
  7. Chang, Yoosoon, 2002. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-08, Rice University, Department of Economics. [Downloadable!]
  8. Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute. [Downloadable!]
    Other versions:
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