Flexible Nonlinear Inference with Endogenous Explanatory Variables
- Authors
- Kim, Dong Heon
- Issue Date
- 2015
- Publisher
- SEOUL NATL UNIV, INST ECONOMIC RESEARCH
- Keywords
- Control function approach; Endogeneity; Nonlinear flexible inference; Two-step procedure
- Citation
- SEOUL JOURNAL OF ECONOMICS, v.28, no.3, pp.311 - 323
- Indexed
- SCOPUS
KCI
- Journal Title
- SEOUL JOURNAL OF ECONOMICS
- Volume
- 28
- Number
- 3
- Start Page
- 311
- End Page
- 323
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/96399
- ISSN
- 1225-0279
- Abstract
- Hamilton's (2001) flexible nonlinear inference is not valid with endogenous explanatory variables. Hence, this paper proposes a framework to approach endogeneity problems in the flexible non-linear inference. We develop two estimation procedures, namely, joint estimation and two-step estimation procedures. The parameters in both models can be estimated by maximum likelihood or numerical Bayesian method. Our approach can be used in handling endogeneity and nonlinearity in the oil-macro relationship or in the monetary policy rule.
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Collections - College of Political Science & Economics > Department of Economics > 1. Journal Articles
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