Browsing by Subject "Instrumental variables"

Now showing items 1-2 of 2

    • Article  

      Nonlinearity Induced Weak Instrumentation 

      Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2014)
      In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be ...
    • Article  

      Wavelet instruments for efficiency gains in generalized method of moment models 

      Michis, A.; Sapatinas, Theofanis (2007)
      We propose a simple computational method in the context of generalized method of moments for improving the efficiency of regression coefficient estimates. The gains in efficiency arise by incorporating additional moment ...