Time-varying parameter models with endogenous regressors

DOI10.1016/J.ECONLET.2005.10.007MaRDI QIDQ1929072zbMATHOpenAlexFDO

Authors Chang-Jin Kim

Publication date 7 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2005.10.007

zbMATH Keywords

Kalman filterendogeneitytwo-step procedure

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

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• scientific article; zbMATH DE number 3806790 (Why is no real title available?)
• Econometric modeling of technical change
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model

Cited in

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• Of Particles and Molecules: Application of Particle Filtering to Irrigated Agriculture in Punjab, India
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• The transmission mechanism in good and bad times
• A two-phase approach to estimating time-varying parameters in the capital asset pricing model
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• Time-varying cointegration and the Kalman filter
• Common time variation of parameters in reduced-form macroeconomic models
• Addressing endogeneity in aggregate logit models with time-varying parameters for optimal retail-pricing

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