Panopoulou, Ekaterini; Kourogenis, Nicolaos; Pittis, Nikitas - Department of Economics, National University of Ireland - 2006
This paper suggests that IV estimators, utilizing irrelevant but persistent instruments mai produce reliable inferences, in small samples, in cases where the endogenous variables contaii autoregressive roots near unity. In such cases, these estimators appear to outperform IV estimator: with...