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st: instrumental var reg with time varying coefficients?


From   "Olga Gorbachev Melloni" <[email protected]>
To   [email protected]
Subject   st: instrumental var reg with time varying coefficients?
Date   Fri, 11 Aug 2006 13:55:14 -0400

Hi,

I would like to know who one test for whether coefficients change with time in an instrumental variable regression.

specifically, I know I can run a regression with time dummies and their interactions with dependent vars to test for change in coefficients. But what do I do I have to instrument for one of the variables? should I do the same procedure and instrument for the variable and its interactions with time dummy?

thanks


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