Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure
DC Field | Value | Language |
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dc.contributor.author | Kim, Chang-Jin | - |
dc.date.accessioned | 2021-09-08T21:08:44Z | - |
dc.date.available | 2021-09-08T21:08:44Z | - |
dc.date.created | 2021-06-10 | - |
dc.date.issued | 2009-01 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/120838 | - |
dc.description.abstract | This paper proposes a two-step maximum likelihood estimation (MLE) procedure to deal with the problem of endogeneity in Markov-switching regression models. A joint estimation procedure provides us with an asymptotically most efficient estimator, but it is not always feasible, due to the 'curse of dimensionality' in the matrix of transition probabilities. A two-step estimation procedure, which ignores potential correlation between the latent state variables, suffers less from the 'curse of dimensionality', and it provides a reasonable alternative to the joint estimation procedure. In addition, our Monte Carlo experiments show that the two-step estimation procedure can be more efficient than the joint estimation procedure in finite samples, when there is zero or low correlation between the latent state variables. (C) 2008 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.subject | RANDOM COEFFICIENT MODEL | - |
dc.subject | INSTRUMENTAL VARIABLES | - |
dc.subject | NONSEPARABLE MODELS | - |
dc.subject | MONETARY-POLICY | - |
dc.subject | BUSINESS-CYCLE | - |
dc.subject | REGRESSORS | - |
dc.title | Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Chang-Jin | - |
dc.identifier.doi | 10.1016/j.jeconom.2008.09.023 | - |
dc.identifier.scopusid | 2-s2.0-58349109655 | - |
dc.identifier.wosid | 000263491000005 | - |
dc.identifier.bibliographicCitation | JOURNAL OF ECONOMETRICS, v.148, no.1, pp.46 - 55 | - |
dc.relation.isPartOf | JOURNAL OF ECONOMETRICS | - |
dc.citation.title | JOURNAL OF ECONOMETRICS | - |
dc.citation.volume | 148 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 46 | - |
dc.citation.endPage | 55 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.subject.keywordPlus | RANDOM COEFFICIENT MODEL | - |
dc.subject.keywordPlus | INSTRUMENTAL VARIABLES | - |
dc.subject.keywordPlus | NONSEPARABLE MODELS | - |
dc.subject.keywordPlus | MONETARY-POLICY | - |
dc.subject.keywordPlus | BUSINESS-CYCLE | - |
dc.subject.keywordPlus | REGRESSORS | - |
dc.subject.keywordAuthor | Control function approach | - |
dc.subject.keywordAuthor | Curse of dimensionality | - |
dc.subject.keywordAuthor | Endogeneity | - |
dc.subject.keywordAuthor | Markov switching | - |
dc.subject.keywordAuthor | Two-step estimation procedure | - |
dc.subject.keywordAuthor | Smoothed probability | - |
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