Nonlinear instrumental variable estimation of an autoregression

Journal of Econometrics

Volumn 118, Issue 1-2, 2004, Pages 219-246

  Phillips, Peter C B ^a,b,c   Park, Joon Y ^d   Chang, Yoosoon ^e  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

^d Seoul National University   (South Korea)

^e RICE UNIVERSITY   (United States)

Author keywords

Cauchy estimator; Instrumental variable autoregression; Nonlinear instruments; Sojourn time; Unit root

Indexed keywords

ESTIMATION; FUNCTIONS; INSTRUMENT SCALES; LEAST SQUARES APPROXIMATIONS; NONLINEAR SYSTEMS;

CAUCHY ESTIMATOR; INSTRUMENTAL VARIABLE (IV) ESTIMATION METHODS; NONLINEAR INSTRUMENTS;

REGRESSION ANALYSIS;

EID: 0347985228     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00141-6     Document Type: Article

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