Time-varying parameter models with endogenous regressors

Chang Jin Kim

doi:10.1016/j.econlet.2005.10.007

Time-varying parameter models with endogenous regressors

Chang Jin Kim

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

37 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	21-26
Number of pages	6
Journal	Economics Letters
Volume	91
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2005.10.007
Publication status	Published - 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).

Keywords

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

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2005.10.007

Cite this

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N1 - 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).

PY - 2006/4

Y1 - 2006/4

N2 - 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.].

AB - 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.].

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KW - Kalman filter

KW - Time-varying parameter model

KW - Two-step procedure

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JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Time-varying parameter models with endogenous regressors

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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