Time-varying parameter models with endogenous regressors

DOI10.1016/J.ECONLET.2005.10.007MaRDI QIDQ1929072zbMATH OpenOpenAlexFDO

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

endogeneityKalman filtertwo-step procedure

Mathematics Subject Classification ID

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

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Cites work

• Econometric modeling of technical change
• scientific article; zbMATH DE number 3947439 (Why is no real title available?)
• scientific article; zbMATH DE number 48318 (Why is no real title available?)
• scientific article; zbMATH DE number 3806790 (Why is no real title available?)
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model

Cited in

(17)

• Addressing endogeneity in aggregate logit models with time-varying parameters for optimal retail-pricing
• Common time variation of parameters in reduced-form macroeconomic models
• A two-phase approach to estimating time-varying parameters in the capital asset pricing model
• Departure from independence and stationarity in a handball match
• scientific article; zbMATH DE number 3926053 (Why is no real title available?)
• Dealing with endogeneity in a time-varying parameter model: joint estimation and two-step estimation procedures
• Estimation of market power in the presence of firm level inefficiencies
• Monitoring Parameter Constancy with Endogenous Regressors
• scientific article; zbMATH DE number 5245018 (Why is no real title available?)
• The transmission mechanism in good and bad times
• Dealing with Endogeneity in Regression Models with Dynamic Coefficients
• Time-varying cointegration and the Kalman filter
• Of Particles and Molecules: Application of Particle Filtering to Irrigated Agriculture in Punjab, India
• Battese-Coelli estimator with endogenous regressors
• Time-varying parameters in econometrics: the editor's foreword
• Econometric modeling of technical change
• Non-stationary structural model with time-varying demand elasticities

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