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This paper proposes a score-driven model for filtering time-varying causal parameters through the use of instrumental variables. In the presence of suitable instruments, we show that we can uncover dynamic causal relations between variables, even in the presence of regressor endogeneity which...
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This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....
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coefficients of the instruments in the first-stage regression as being in the neighborhood of Zero, we treat the limiting …-stage regression into a spurious, higher order regression between weakly related processes. Our methodology exploits the well …
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1. Introduction 2 -- Start using Gretl and R 3 -- Basic Material 4 -- Hypothesis testing 5 -- Simple linear regression … 6 -- Multiple regression 7 -- Regression using dummy variables 8 -- Non linear models 9 -- Time series analysis 10 …-technical approach, the book covers topics including simple regression and hypothesis testing, multiple regression with control variables …
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