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Flexible Nonlinear Inference with Endogenous Explanatory Variables

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Authors

Kim, Dong Heon

Issue Date
2015-07
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.28 No.3, pp. 311-323
Keywords
Control function approachEndogeneityNonlinear flexible inferenceTwo-step procedure
Abstract
Hamiltons (2001) flexible nonlinear inference is not valid with endogenous explanatory variables. Hence, this paper proposes a framework to approach endogeneity problems in the flexible nonlinear inference. We evelop 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.
ISSN
1225-0279
Language
English
URI
https://hdl.handle.net/10371/94460
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of Economics (SJE)Seoul Journal of Economics vol.28 no.1~4 (2015)
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