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Flexible Nonlinear Inference with Endogenous Explanatory Variables
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Dong Heon | - |
dc.date.accessioned | 2015-11-02T09:20:21Z | - |
dc.date.available | 2015-11-02T09:20:21Z | - |
dc.date.issued | 2015-07 | - |
dc.identifier.citation | Seoul Journal of Economics, Vol.28 No.3, pp. 311-323 | - |
dc.identifier.issn | 1225-0279 | - |
dc.identifier.uri | https://hdl.handle.net/10371/94460 | - |
dc.description.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. | - |
dc.language.iso | en | - |
dc.publisher | Institute of Economic Research, Seoul National University | - |
dc.subject | Control function approach | - |
dc.subject | Endogeneity | - |
dc.subject | Nonlinear flexible inference | - |
dc.subject | Two-step procedure | - |
dc.title | Flexible Nonlinear Inference with Endogenous Explanatory Variables | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | 김동헌 | - |
dc.citation.journaltitle | Seoul Journal of Economics | - |
dc.citation.endpage | 323 | - |
dc.citation.number | 3 | - |
dc.citation.pages | 311-323 | - |
dc.citation.startpage | 311 | - |
dc.citation.volume | 28 | - |
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