Kitamura, Yuichi; Phillips, Peter C.B. - In: Econometric Theory 11 (1995) 05, pp. 1095-1130
A limit theory for instrumental variables (IV) estimation that allows for possibly nonstationary processes was developed in Kitamura and Phillips (1992, Fully Modified IV, GIVE, and GMM Estimation with Possibly Non-stationary Regressors and Instruments, mimeo, Yale University). This theory...