The Role of Coefficient Drivers of Time-Varying Coefficients in Estimating the Total Effects of a Regressor on the Dependent Variable of an Equation

Round 1

Reviewer 1 Report

Dear Editor,

The authors study the explanatory variables included in a regression model. Such variables, in conjunction with omitted relevant regressors implied by the usual error term, have both direct and indirect effects on the dependent variable, as well can be plagued with simultaneity issues.

In this work, Feng et.al  investigate the role of coefficient drivers of time-varying coefficients in

estimating the “total effects” of a regressor on the dependent variable of an equation. Their results reveal consistent estimation without simultaneity bias. The proposed techniques are then applied to estimate the total effects of commercial bank credit per capita

on real GDP per capita in Mauritius. In addition, the manuscript introduces extraneous variables that act as “coefficient drivers”, improving the accuracy of the

empirical results.

I consider this a very timely study, carefully conceived and executed,

and likely of interest to many readers of JRFM. In my opinion, the results are sound and original and therefore, I recommend publication in the present form.

Author Response

Thank you!

Reviewer 2 Report

Please provide an economic interpretation of the results. The economic discussion of the results is almost absent. 

What kind of methodology are you using for the estimation of the coefficients? Maximum Likelihood? Please clarify. 

Author Response

Thank you very much for your thoughtful comments. We have taken them all to heart and hopefully have ended up with a much improved product.