Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
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回归变量与工具变量可能非平稳时的完全修正 IV、GIVE 与 GMM 估计
- 研究问题
- 当回归变量和工具变量同时可能为 I(0) 或 I(1)，且事先不知道积分性质及协整空间时，如何实现有效的工具变量估计？
- 方法与思路
- 作者扩展完全修正回归，构造 FM-GIVE 与 FM-GMM，结合平稳和非平稳部分的渐近性质，并提出工具有效性的修正检验。
- 材料陈述的贡献
- 摘要称，混合模型中 FM-GIVE 与 FM-GMM 对平稳部分比 FM-IV 更有效率，理论无需预知单位根数量或协整空间。
- 阅读关注点
- 应核对工具有效性和相关性条件、完全修正项的构造、各部分效率比较的含义，以及修正 Sargan 检验的极限分布。
- 阅读边界
- 仅依据 OpenAlex 所载摘要；摘要未给出完整正则条件或有限样本证据，不预知积分性质不意味着无需其他识别和估计条件。
原文摘要
This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The main goal of this paper is to develop a theory in which one does not need to know the integration properties of the regressors in order to obtain efficient estimators. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips and Hansen (1990). FM versions of the generalized instrumental variable estimation (GIVE) method and the generalized method of moments (GMM) estimator are developed. In models with both stationary and nonstationary components, the FM-GIVE and FM-GMM techniques provide efficiency gains over FM-IV in the estimation of the stationary components of a model that has both stationary and non-stationary regressors. The paper exploits a result of Phillips (1991a) that we can apply FM techniques in models with cointegrated regressors and even in stationary regression models without losing the method's good asymptotic properties. The present paper shows how to take advantage jointly of the good asymptotic properties of FM estimators with respect to the non-stationary elements of a model and the good asymptotic properties of the GIVE and GMM estimators with respect to the stationary components. The theory applies even when there is no prior knowledge of the number of unit roots in the system or the dimension or the location of the cointegration space. An FM extension of the Sargan (1958) test for the validity of the instruments is proposed.