Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates

DOI10.2202/1558-3708.1302zbMath1178.91207OpenAlexW2000066870MaRDI QIDQ5452734

Martin Sola, Fabio Spagnolo, Zacharias Psaradakis

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1302

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Asymmetries in the monetary policy reaction function: evidence from India ⋮ An extensive study on Markov switching models with endogenous regressors

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