Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures
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Publication:4913920
DOI10.1111/j.1368-423X.2011.00353.xzbMath1284.62537OpenAlexW2101617965MaRDI QIDQ4913920
Publication date: 17 April 2013
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2011.00353.x
endogeneitygenerated regressorscontrol function approachtwo-step estimation proceduretime-varying parameter modeljoint estimation procedure
Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)
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Uses Software
Cites Work
- Some identification and estimation results for regression models with stochastically varying coefficients
- Consumption and the credit market
- Time-varying parameter models with endogenous regressors
- Econometric Issues in the Analysis of Regressions with Generated Regressors
- Estimation in the Presence of Stochastic Parameter Variation
- Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures
- Time Varying Structural Vector Autoregressions and Monetary Policy
