Time-varying parameter models with endogenous regressors

被引：33

作者：

Kim, CJ ^{[1
]}

机构：

[1] Korea Univ, Dept Econ, Seoul 136701, South Korea

[2] Univ Washington, Dept Econ, Seattle, WA 98195 USA

来源：

ECONOMICS LETTERS | 2006年 / 91卷 / 01期

关键词：

endogeneity; Kalman filter; time-varying parameter model; two-step procedure;

D O I：

10.1016/j.econlet.2005.10.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper provides a framework for dealing with endogencity problems in the time-varying parameter models. A Heckman-type two-step MLE procedure is derived for consistent estimation of the hyper-parameters as well as correct inferences on the time-varying coefficients [Heckman, J.J., 1976, The common structure of statistical models of truncation, sample selection, and limited dependent variables and a simple estimator for such models. Annals of Economic and Social Measurement, 5, 475-492.]. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：21 / 26

页数：6

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