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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 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 |
