Irrelevant but highly persistent instruments in stationary regressions with endogenous variables containing near-to-unit roots
This paper suggests that IV estimators, utilizing irrelevant but persistent instruments mai produce reliable inferences, in small samples, in cases where the endogenous variables contaii autoregressive roots near unity. In such cases, these estimators appear to outperform IV estimator: with strong instruments as well as some asymptotically efficient cointegration estimators.
|Date of creation:||2006|
|Date of revision:|
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- Park, Joon Y. & Phillips, Peter C.B., 1988.
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