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Dealing with endogeneity in regression models with dynamic coefficients

Kim, Chang-jin (contributor) - 2010

Persistent link: https://www.econbiz.de/10008656405

Sources of monetary growth uncertainty and economic activity : the time-varying-parameter model with heteroskedastic disturbances

Kim, Chang-jin - In: The review of economics and statistics 75 (1993) 3, pp. 483-492

Persistent link: https://www.econbiz.de/10001162859

The long-run US, UK real exchange rate

Engel, Charles; Kim, Chang-jin - 1996

Persistent link: https://www.econbiz.de/10000604986

State-space models with regime switching : classical and Gibbs-sampling approaches with applications

Kim, Chang-jin; Nelson, Charles R. - 1999

Persistent link: https://www.econbiz.de/10000672140

Estimation of a forward-looking monetary policy rule : a time-varying parameter model using ex post data

Kim, Chang-jin; Nelson, Charles R. - In: Journal of monetary economics 53 (2006) 8, pp. 1949-1966

Persistent link: https://www.econbiz.de/10003394388

Dealing with endogeneity in a time-varying parameter model : joint estimation and two-step estimation procedures

Kim, Yunmi; Kim, Chang-jin - In: The econometrics journal 14 (2011) 3, pp. 487-497

Persistent link: https://www.econbiz.de/10009383081

Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization

Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154

Persistent link: https://www.econbiz.de/10001374883

Testing for mean reversion in heteroskedastic data II : autoregression tests based on Gibbs-sampling-augmented randomization

Kim, Chang-Jin; Nelson, Charles R. - In: Journal of empirical finance 5 (1998) 4, pp. 385-396

Persistent link: https://www.econbiz.de/10001375196

The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance : the Case of Lucas Hypothesis

Nelson, Charles R. - 2010

The main econometric issue in testing the Lucas hypothesis (1973) in a times series context is the estimation of the variance conditional on past information. The ARCH model, proposed by Engle (1982), is one way of specifying the conditional variance. But the assumption underlying the ARCH...

Persistent link: https://www.econbiz.de/10012760032

The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance : The Case of Lucas Hypothesis

Nelson, Charles R. - 1988

Persistent link: https://www.econbiz.de/10012476365