Chang-Jin, Kim - In: Foundations and Trends(R) in Econometrics 3 (2010) 3, pp. 165-266
The purpose of this monograph is to present a unified econometric framework for dealing with the issues of endogeneity in Markovswitching models and time-varying parameter models, as developed by Kim (2004, 2006, 2009), Kim and Nelson (2006), Kim et al. (2008), and Kim and Kim (2009). While...