تقرير
Efficient two-sample instrumental variable estimators with change points and near-weak identification
| العنوان: | Efficient two-sample instrumental variable estimators with change points and near-weak identification |
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| المؤلفون: | Antoine, Bertille, Boldea, Otilia, Zaccaria, Niccolo |
| سنة النشر: | 2024 |
| مصطلحات موضوعية: | Economics - Econometrics |
| الوصف: | We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show how to use this information to obtain more efficient two-sample GMM estimators than the standard split-sample GMM, even in the presence of near-weak instruments. We also propose two tests to detect change points in the parameters of interest, depending on whether the first-stage is common or not. We derive the limiting distribution of these tests and show that they have non-trivial power even under weaker and possibly time-varying identification patterns. The finite sample properties of our proposed estimators and testing procedures are illustrated in a series of Monte-Carlo experiments, and in an application to the open-economy New Keynesian Phillips curve. Our empirical analysis using US data provides strong support for a New Keynesian Phillips curve with incomplete pass-through and reveals important time variation in the relationship between inflation and exchange rate pass-through. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2406.17056 |
| رقم الأكسشن: | edsarx.2406.17056 |
| قاعدة البيانات: | arXiv |
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