Time-varying parameter models with endogenous regressors

DOI10.1016/J.ECONLET.2005.10.007zbMATH Open1255.62359OpenAlexW2082262778MaRDI QIDQ1929072FDOQ1929072

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

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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)

Cites Work

• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
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• Econometric modeling of technical change
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Cited In (16)

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• Battese-Coelli estimator with endogenous regressors
• Econometric modeling of technical change
• Departure from independence and stationarity in a handball match
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• Dealing with endogeneity in a time-varying parameter model: joint estimation and two-step estimation procedures
• Of Particles and Molecules: Application of Particle Filtering to Irrigated Agriculture in Punjab, India
• Monitoring Parameter Constancy with Endogenous Regressors
• Non-stationary structural model with time-varying demand elasticities
• Dealing with Endogeneity in Regression Models with Dynamic Coefficients
• Addressing endogeneity in aggregate logit models with time-varying parameters for optimal retail-pricing
• The transmission mechanism in good and bad times
• Time-varying cointegration and the Kalman filter
• Estimation of market power in the presence of firm level inefficiencies
• 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

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