Dealing with Endogeneity in Regression Models with Dynamic Coefficients
Chang-Jin Kim
Broschiertes Buch

Dealing with Endogeneity in Regression Models with Dynamic Coefficients

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Dealing with Endogeneity in Regression Models with Dynamic Coefficients presents a unified econometric framework for dealing with the issues of endogeneity in Markov-switching models and time-varying parameter models. While others have considered estimation of simultaneous equations models with stochastic coefficients as a system, we focus on the LIML (limited information maximum likelihood) estimation of a single equation of interest out of a simultaneous equations model. The control function approach, which is an econometric method used to correct for biases that arise as a consequence of se...