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Time-varying instrumental variable estimation
Giraitis, Liudas; Kapetanios, George; Marcellino, … - 2020
We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients can vary over time either deterministically or stochastically, and the time-varying and uniform versions of the standard Hausman...
Persistent link: https://www.econbiz.de/10012262677
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Time-varying instrumental variable estimation
Giraitis, Liudas; Kapetanios, George; Marcellino, … - In: Journal of econometrics 224 (2021) 2, pp. 394-415
Persistent link: https://www.econbiz.de/10013275394
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Time-varying instrumental variable estimation
Marcellino, Massimiliano; Kapetanios, George; Giraitis, … - 2020
Persistent link: https://www.econbiz.de/10012299263
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A shrinkage instrumental variable estimator for large datasets
Carriero, Andrea (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003671721
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A shrinkage instrumental variable estimator for large datasets
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2015 - This version: September 22, 2015
Persistent link: https://www.econbiz.de/10011809636
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A shrinkage instrumental variable estimator for large datasets
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: L' Actualité économique : revue trimest. 91 (2015) 1/2, pp. 67-87
Persistent link: https://www.econbiz.de/10011775777
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Mean group instrumental variable estimation of time-varying large heterogenous panels with endogenous regressors
Bai, Yu; Marcellino, Massimiliano; Kapetanios, George - 2023
Persistent link: https://www.econbiz.de/10014452530
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Time-varying instrumental variable estimation
Giraitis, Liudas; Kapetanios, George; Marcellino, … - 2020
We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients can vary over time either deterministically or stochastically, and the time-varying and uniform versions of the standard Hausman...
Persistent link: https://www.econbiz.de/10012670874
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Large time-varying parameter VARs : a non-parametric approach
Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2017
Persistent link: https://www.econbiz.de/10011959996
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Investigating growth at risk using a multi-country non-parametric quantile factor model
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2023
Persistent link: https://www.econbiz.de/10014316039