Dealing with Endogeneity in Regression Models with Dynamic Coefficients
Author | : Chang-Jin Kim |
Publisher | : Now Publishers Inc |
Total Pages | : 116 |
Release | : 2010 |
ISBN-10 | : 9781601983121 |
ISBN-13 | : 1601983123 |
Rating | : 4/5 (123 Downloads) |
Download or read book Dealing with Endogeneity in Regression Models with Dynamic Coefficients written by Chang-Jin Kim and published by Now Publishers Inc. This book was released on 2010 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this monograph is to present a unified econometric framework for dealing with the issues of endogeneity in Markov-switching models and time-varying parameter models, as developed by Kim (2004, 2006, 2009), Kim and Nelson (2006), Kim et al. (2008), and Kim and Kim (2009). While Cogley and Sargent (2002), Primiceri (2005), Sims and Zha (2006), and Sims et al. (2008) consider estimation of simultaneous equations models with stochastic coefficients as a system, we deal with the LIML (limited information maximum likelihood) estimation of a single equation of interest out of a simultaneous equations model. Our main focus is on the two-step estimation procedures based on the control function approach, and we show how the problem of generated regressors can be addressed in second-step regressions.