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Chang-Jin Kim Dealing with Endogeneity in Regression Models with Dyn (Paperback)
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Item specifics
- Condition
- Publication Name
- Dealing with Endogeneity in Regression Models with Dynamic Coeffi
- Title
- Dealing with Endogeneity in Regression Models with Dynamic Coeffi
- EAN
- 9781601983121
- ISBN
- 9781601983121
- Genre
- Business & Finance
- Release Year
- 2010
- Release Date
- 03/02/2010
- Country/Region of Manufacture
- US
- Item Length
- 156mm
- Series
- Foundations and Trends® in Econometrics
- UPC
- 9781601983121
- Publication Year
- 2010
- Type
- Textbook
- Format
- Paperback
- Language
- English
- Book Title
- Dealing with Endogeneity in Regression Models with Dynamic Coefficients
- Item Height
- 234mm
- Publisher
- Now Publishers Inc
- Topic
- Economics
- Item Width
- 156mm
- Item Weight
- 178g
- Number of Pages
- 118 Pages
About this product
Product Information
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, this book focuses 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 selection or endogeneity, will be the main tool in dealing with the problem of endogeneity throughout the book. While the approach has been extensively applied to the sample selection models and disequilibrium models in the micro-econometrics literature, its application in the time-series econometrics literature is relatively new. The basic idea behind the control function is to model the dependence of the disturbance term on the endogenous variables in a way that allows us to construct a function such that, conditional on the function, the endogeneity problem in the regression equation of interest disappears. The book is organized as follows: Section 2 reviews the basic issues associated with the control function approach, which is the main tool for dealing with endogeneity in this article. The authors investigate these issues within the framework of constant regression coefficients. Section 3 considers estimation of Markov-switching models with endogenous regressors. Section 4 deals with estimation of a Markov-switching model, where regressors are exogenous or predetermined and the Markov-switching coefficients are correlated with regression disturbances. Section 5 discusses the issues of endogeneity within the time-varying parameter models. Section 6 provides concluding remarks.
Product Identifiers
Publisher
Now Publishers Inc
ISBN-13
9781601983121
eBay Product ID (ePID)
107608787
Product Key Features
Book Title
Dealing with Endogeneity in Regression Models with Dynamic Coefficients
Format
Paperback
Language
English
Topic
Economics
Publication Year
2010
Type
Textbook
Number of Pages
118 Pages
Dimensions
Item Height
234mm
Item Width
156mm
Item Weight
178g
Additional Product Features
Series Title
Foundations and Trends (R) in Econometrics
Country/Region of Manufacture
United States
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