Giraitis et al. (J Econom 224(2):394-415, 2021) proposed a kernel-based time-varying coefficients IV estimator. By using entirely different code, 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. Further, we extend the results by using a different sample and a wider choice of smoothing kernels, including data-based ones; we find that the estimator is remarkably robust across a wide range of smoothing choices, but the effect of outliers may be less obvious than expected.
Kernel-based time-varying IV estimation: handle with care / Lucchetti, R.; Valentini, F.. - In: EMPIRICAL ECONOMICS. - ISSN 0377-7332. - ELETTRONICO. - (2023). [10.1007/s00181-023-02450-6]
Kernel-based time-varying IV estimation: handle with care
Lucchetti R.;Valentini F.
2023-01-01
Abstract
Giraitis et al. (J Econom 224(2):394-415, 2021) proposed a kernel-based time-varying coefficients IV estimator. By using entirely different code, 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. Further, we extend the results by using a different sample and a wider choice of smoothing kernels, including data-based ones; we find that the estimator is remarkably robust across a wide range of smoothing choices, but the effect of outliers may be less obvious than expected.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
