Time-varying parameter models with endogenous regressors

Chang Jin Kim

Research output: Contribution to journalArticlepeer-review

36 Citations (Scopus)


This paper provides a framework for dealing with endogeneity problems in the time-varying parameter models. A Heckman-type two-step MLE procedure is derived for consistent estimation of the hyper-parameters as well as correct inferences on the time-varying coefficients [Heckman, J.J., 1976, The common structure of statistical models of truncation, sample selection, and limited dependent variables and a simple estimator for such models, Annals of Economic and Social Measurement, 5, 475-492.].

Original languageEnglish
Pages (from-to)21-26
Number of pages6
JournalEconomics Letters
Issue number1
Publication statusPublished - 2006 Apr

Bibliographical note

Funding Information:
I thank Charles R. Nelson for his invaluable comments and Yunmi Kim for her excellent research assistance. This work has been supported by Korea Research Foundation Grant (KRF-2004-041-B00059).


  • Endogeneity
  • Kalman filter
  • Time-varying parameter model
  • Two-step procedure

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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