Markov-Switching Models with Endogenous Explanatory Variables
2003/03/18
研討會日期 : 2003-03-18
時間 : 15:00
主講人 : Prof. Chang-Jin Kim
地點 : B棟110室
演講者簡介 : Prof. Chang-Jin Kim為Ph.D. in Economics，University of Washington (1989)。
現為Professor，Korea University。
其主要研究領域為Econometrics、及Time Series Analysis。
演講摘要 : The maximum likelihood estimation of a Markov-switching regression model based on the Hamilton filter is not valid in the presence of endogenous explanatory variables. However, we show that there exists an appropriate transformation of the model that allows us to directly employ the Hamilton filter. The transformed model explicitly allows for a vector of bias correction terms as additional regressors, and the new disturbance term is uncorrelated with all the regressors in the transformed model. Within this framework, a Quasi maximum likelihood estimation (QMLE) procedure is presented. A procedure to test for endogeneity based on the Wald statistic of the likelihood ratio statistic is also presented.
