Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure

Journal of Econometrics

Volumn 148, Issue 1, 2009, Pages 46-55

  Kim, Chang Jin ^a,b  

^a Korea University   (South Korea)

^b UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Control function approach; Curse of dimensionality; Endogeneity; Markov switching; Smoothed probability; Two step estimation procedure

Indexed keywords

PROBABILITY; RANDOM PROCESSES; REGRESSION ANALYSIS; SWITCHING;

CONTROL FUNCTION APPROACH; CURSE OF DIMENSIONALITY; ENDOGENEITY; MARKOV SWITCHING; SMOOTHED PROBABILITY; TWO-STEP ESTIMATION PROCEDURE;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 58349109655     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.09.023     Document Type: Article

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