Similar Search Results

Markov-switching models with endogenous explanatory variables

Kim, Chang-jin - In: Journal of econometrics 122 (2004) 1, pp. 127-136

Persistent link: https://www.econbiz.de/10002136509

Dealing with endogeneity in regression models with dynamic coefficients

Kim, Chang-jin (contributor) - 2010

Persistent link: https://www.econbiz.de/10008656405

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

Kim, Chang-jin - In: Journal of econometrics 148 (2009) 1, pp. 46-55

Persistent link: https://www.econbiz.de/10003813118

Estimation of Markov regime-switching regression models with endogenous switching

Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979877

Estimation of Markov regime-switching regression models with endogenous switching

Kim, Chang-jin; Piger, Jeremy Max; Startz, Richard - In: Journal of econometrics 143 (2008) 2, pp. 263-273

Persistent link: https://www.econbiz.de/10003722601

Regime shifts in price-dividend ratios and expected stock returns : a present-value approach

Choi, Kwang Hun; Kim, Chang-jin; Park, Cheolbeom - In: Journal of money, credit and banking : JMCB 49 (2017) 2/3, pp. 417-441

Persistent link: https://www.econbiz.de/10011708028

Markov-Switching Models with Endogenous Explanatory Variables Ii : A Two-Step Mle Procedure with Standard-Error Correction

Kim, Chang-Jin - 2004

This paper provides a unified framework for a two-step MLE procedure to deal with the problem of endogeneity in Markov-switching regression models. Two important issues are considered. First, a consistent estimation of the Markov-switching regression equation of interest is considered. Second,...

Persistent link: https://www.econbiz.de/10014072735