Xia, Wang; Yuhuang, Shang; Tingguo, Zheng - In: Studies in Nonlinear Dynamics & Econometrics 18 (2014) 4, pp. 16-16
This paper extends Kim’s (Kim, C.-J. 2004. “Markov-Switching Models with Endogenous Explanatory Variables.” Journal of Econometrics 122: 127–136; Kim, C.-J. 2009. “Markov-Switching Models with Endogenous Explanatory Variables II: A Two-Step MLE Procedure.” Journal of Econometrics 148:...
