endogenous regressors
Posted: Wed Apr 27, 2016 11:04 am
I would like to know if there is any procedure available which deals with estimation of a state space model when the measurement equation contains endogenous regressors. I note that there is a paper by Chang-Jin Kim, "Time-varying parameter models with endogenous regressors", Economics Letters 91 (2006) 21-26.
Thanks.
Thanks.