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Time-varying instrumental variable estimation

Liudas Giraitis, George Kapetanios, Massimiliano Marcellino

Journal of Econometrics, 2021. DOI 10.1016/j.jeconom.2020.08.013

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 mixed.

Replications

• Kernel-based time-varying IV estimation: handle with care, Lucchetti & Valentini (2023). Outcome recorded: mixed. we broadly replicate the simulation results and the empirical application on the Phillips curve, but we note that a possible oversight might have affected some of the reported results. View paper

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