Flexible nonlinear inference with endogenous explanatory variables

Dong Heon Kim

Flexible nonlinear inference with endogenous explanatory variables

Dong Heon Kim^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

Hamilton's (2001) flexible nonlinear inference is not valid with endogenous explanatory variables. Hence, this paper proposes a framework to approach endogeneity problems in the flexible nonlinear inference. We develop two estimation procedures, namely, joint estimation and two-step estimation procedures. The parameters in both models can be estimated by maximum likelihood or numerical Bayesian method. Our approach can be used in handling endogeneity and nonlinearity in the oil-macro relationship or in the monetary policy rule.

Original language	English
Pages (from-to)	311-324
Number of pages	14
Journal	Seoul Journal of Economics
Volume	28
Issue number	3
Publication status	Published - 2015

Keywords

Control function approach
Endogeneity
Nonlinear flexible inference
Two-step procedure

ASJC Scopus subject areas

Economics, Econometrics and Finance(all)

Cite this

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title = "Flexible nonlinear inference with endogenous explanatory variables",

abstract = "Hamilton's (2001) flexible nonlinear inference is not valid with endogenous explanatory variables. Hence, this paper proposes a framework to approach endogeneity problems in the flexible nonlinear inference. We develop two estimation procedures, namely, joint estimation and two-step estimation procedures. The parameters in both models can be estimated by maximum likelihood or numerical Bayesian method. Our approach can be used in handling endogeneity and nonlinearity in the oil-macro relationship or in the monetary policy rule.",

keywords = "Control function approach, Endogeneity, Nonlinear flexible inference, Two-step procedure",

author = "Kim, \{Dong Heon\}",

year = "2015",

language = "English",

volume = "28",

pages = "311--324",

journal = "Seoul Journal of Economics",

issn = "1225-0279",

publisher = "Seoul National University,Institute of Economic Research",

number = "3",

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T1 - Flexible nonlinear inference with endogenous explanatory variables

AU - Kim, Dong Heon

PY - 2015

Y1 - 2015

N2 - Hamilton's (2001) flexible nonlinear inference is not valid with endogenous explanatory variables. Hence, this paper proposes a framework to approach endogeneity problems in the flexible nonlinear inference. We develop two estimation procedures, namely, joint estimation and two-step estimation procedures. The parameters in both models can be estimated by maximum likelihood or numerical Bayesian method. Our approach can be used in handling endogeneity and nonlinearity in the oil-macro relationship or in the monetary policy rule.

AB - Hamilton's (2001) flexible nonlinear inference is not valid with endogenous explanatory variables. Hence, this paper proposes a framework to approach endogeneity problems in the flexible nonlinear inference. We develop two estimation procedures, namely, joint estimation and two-step estimation procedures. The parameters in both models can be estimated by maximum likelihood or numerical Bayesian method. Our approach can be used in handling endogeneity and nonlinearity in the oil-macro relationship or in the monetary policy rule.

KW - Control function approach

KW - Endogeneity

KW - Nonlinear flexible inference

KW - Two-step procedure

UR - https://www.scopus.com/pages/publications/84941285814

UR - https://www.scopus.com/pages/publications/84941285814#tab=citedBy

M3 - Article

AN - SCOPUS:84941285814

SN - 1225-0279

VL - 28

SP - 311

EP - 324

JO - Seoul Journal of Economics

JF - Seoul Journal of Economics

IS - 3

ER -

Flexible nonlinear inference with endogenous explanatory variables

Abstract

Keywords

ASJC Scopus subject areas

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