Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062667 | Economics Letters | 2006 | 6 Pages |
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.].
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chang-Jin Kim,