Endogeneity and Instrumental Variables in Dynamic Models

Jean-Pierre Florens and Guillaume Simon

No 10-178, TSE Working Papers from Toulouse School of Economics (TSE)

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.

JEL-codes: C14 C32 C51 (search for similar items in EconPapers)
Date: 2010-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:22896

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