Markov-switching models with endogenous explanatory variables

Journal of Econometrics

Volumn 122, Issue 1, 2004, Pages 127-136

  Kim, Chang Jin ^a,b  

^a Korea University   (South Korea)

^b UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Bias correction; Endogeneity; Forward looking monetary policy rule; Hausman Wu test; Markov switching

Indexed keywords

HAMILTONIANS; MARKOV PROCESSES; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; REGRESSION ANALYSIS; STATISTICS;

BIAS CORRECTION; ENDOGENEITY; HAUSMAN-WU TESTS; MARKOV SWITCHING;

SWITCHING;

EID: 3042771244     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2003.10.021     Document Type: Article

References (6)

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