Close
Enter your search into one or more of the boxes below:
You can refine your search by selecting from any of the options below:
Search
Dealing with Endogeneity in Regression Models with Dynamic Coefficients
Foyalty 198

Dealing with Endogeneity in Regression Models with Dynamic Coefficients (Paperback)

£65.95
Usually despatched within 3 weeks.

Synopsis

Dealing with Endogeneity in Regression Models with Dynamic Coefficients presents a unified econometric framework for dealing with the issues of endogeneity in Markov-switching models and time-varying parameter models. While others have considered estimation of simultaneous equations models with stochastic coefficients as a system, this book focuses on the LIML (limited information maximum likelihood) estimation of a single equation of interest out of a simultaneous equations model.



The control function approach, which is an econometric method used to correct for biases that arise as a consequence of selection or endogeneity, will be the main tool in dealing with the problem of endogeneity throughout the book. While the approach has been extensively applied to the sample selection models and disequilibrium models in the micro-econometrics literature, its application in the time-series econometrics literature is relatively new. The basic idea behind the control function is to model the dependence of the disturbance term on the endogenous variables in a way that allows us to construct a function such that, conditional on the function, the endogeneity problem in the regression equation of interest disappears.



The book is organized as follows:



Section 2 reviews the basic issues associated with the control function approach, which is the main tool for dealing with endogeneity in this article. The authors investigate these issues within the framework of constant regression coefficients.

Section 3 considers estimation of Markov-switching models with endogenous regressors.

Section 4 deals with estimation of a Markov-switching model, where regressors are exogenous or predetermined and the Markov-switching coefficients are correlated with regression disturbances.

Section 5 discusses the issues of endogeneity within the time-varying parameter models.

Section 6 provides concluding remarks.

BusinessEconomicsEconometrics Publisher: now publishers Inc Publication Date: 03/02/2010 ISBN-13: 9781601983121  Details: Type: Paperback Format: Books
Availability: Usually despatched within 3 weeks. Add to Basket

More books by Chang-Jin Kim

Leave Review

Delivery

Delivery Options

All delivery times quoted are the average, and cannot be guaranteed. These should be added to the availability message time, to determine when the goods will arrive. During checkout we will give you a cumulative estimated date for delivery.

Location 1st Book Each additional book Average Delivery Time
UK Standard Delivery Free Free 3-5 Days
UK First Class £3.75 £0.00 1-2 Days
Delivery to a Foyles Bookshop Free Free From 2 hours
Click and Collect Free Free From 2 hours - Individual item delivery times given at checkout
UK Courier £7.95 £0.00 1 Working Day
Western Europe**Airmail £9.00 £1.00 7-8 Days
Rest of World Airmail £12.50 £1.00 7-10 Days

** Includes Austria, Belgium, Denmark, France, Germany, Greece, Iceland, Irish Republic, Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden and Switzerland.

Click and Collect is available for all our shops; collection times will vary depending on availability of items. Individual despatch times for each item will be given at checkout.

Special delivery items

A Year of Books Subscription Packages 

Delivery is free for the UK. Western Europe costs £60 for each 12 month subscription package purchased. For the Rest of the World the cost is £100 for each package purchased. All delivery costs are charged in advance at time of purchase. For more information please visit the A Year of Books page.

Animator's Survival Kit

For delivery charges for the Animator's Survival Kit please click here.

 

Delivery Help & FAQs

Returns Information

If you are not completely satisfied with your purchase*, you may return it to us in its original condition with in 30 days of receiving your delivery or collection notification email for a refund. Except for damaged items or delivery issues the cost of return postage is borne by the buyer. Your statutory rights are not affected.

* For Exclusions and terms on damaged or delivery issues see Returns Help & FAQs

You might also like

A Course in the Large Sample Theory ...
(Hardback)
W. Jackson Hall; David Oakes
 
 
£77.00
 
Handbook of Econometrics: Volume 7B
(Hardback)
Steven Durlauf; Lars Peter Hansen;...
 
 
£110.00
 
Advances in Info-Metrics: Information...
(Hardback)
Min Chen; J. Michael Dunn; Amos ...
 
 
£81.00
 
© W&G Foyle Ltd
Foyles uses cookies to help ensure your experience on our site is the best possible. Click here if you’d like to find out more about the types of cookies we use.
Accept and Close