Endogeneity and Instrumental Variables in Dynamic Models

Florens, Jean-Pierre and Simon, Guillaume (2010) Endogeneity and Instrumental Variables in Dynamic Models. TSE Working Paper, n. 10-178

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Official URL: http://tse-fr.eu/pub/22896

Abstract

The objective of the paper is to draw the theory of endogeneity in dynamic models in discrete and continuous time, in particular for diffusions and counting processes. We first provide an extension of the separable set-up to a separable dynamic framework given in term of semi-martingale decomposition. Then we define our function of interest as a stopping time for an additional noise process, whose role is played by a Brownian motion for diffusions, and a Poisson process for counting processes.

Item Type: Monograph (Working Paper)
Language: English
Date: April 2010
JEL codes: C14 - Semiparametric and Nonparametric Methods
C32 - Time-Series Models
C51 - Model Construction and Estimation
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 06:02
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:22896
URI: http://publications.ut-capitole.fr/id/eprint/3397

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