Markov-switching models with endogenous explanatory variables

DOI10.1016/j.jeconom.2003.10.021zbMath1282.62179OpenAlexW2023992201MaRDI QIDQ2439091

Chang-Jin Kim

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.10.021

zbMATH Keywords

endogeneityMarkov switchingbias correctionforward-looking monetary policy ruleHausman-Wu test

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items (7)

Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure ⋮ A new approach to model regime switching ⋮ Asymmetries in the monetary policy reaction function: evidence from India ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ An extensive study on Markov switching models with endogenous regressors ⋮ Origins of monetary policy shifts: a new approach to regime switching in DSGE models ⋮ Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach

Cites Work

• Estimation and comparison of multiple change-point models
• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• Specification Tests in Econometrics
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Unnamed Item

This page was built for publication: Markov-switching models with endogenous explanatory variables