Statistical Inference in Instrumental Variables Regression with I(1) Processes

C.B. Phillips, Peter; E. Hansen, Bruce

doi:10.2307/2297545

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Statistical Inference in Instrumental Variables Regression with I(1) Processes

Published in The Review of Economic Studies • Jan 1, 1990

Authors:

Peter C.B. Phillips

Bruce E. Hansen

Abstract

This paper studies the asymptotic properties of instrumental variable (IV) estimates of multivariate cointegrating regressions and allows for deterministic and stochastic regressors as well as quite general deterministic processes in the data-generating mechanism. It is found that IV regressions are...

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Subject

Inference

Instrumental variable

Statistical inference

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