IV Estimation in the Presence of Serially Correlated Regressors and Disturbance Terms

• 발행기관: 한국계량경제학회
• 저자명: Chang-Jin Kim Donggeun Kim Geun-Hye Yang
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.20 No.3, 56~70쪽, 전체 15쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2009.09.30

영문 초록

We present a unified framework to solve the endogeneity problem in time-series regression models with serially a correlated disturbance term with ARMA(p,q) dynamics. Our focus is on the case in which lagged regressors are used as instrumental variables. The control function approach provides us with the solution to the problem. Besides, it provides us with an easy method for testing for endogeneity. Our Monte Carlo experiments confirm that the proposed two-step estimation procedure and the proposed test of endogeneity perform well for a sample size as small as 250.

키워드

Endogeneity IV Estimation Autoregressive Disturbance term Alternative Two-Step Procedure Generated Regressors.