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

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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 Classification: 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: 02 Apr 2021 15:36
OAI Identifier: oai:tse-fr.eu:22896
URI: https://publications.ut-capitole.fr/id/eprint/3397
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