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In dealing with the problem of endogeneity in a time-varying parameter model, we develop the joint and two-step estimation procedures based on the control function approach. We show that a key to the ...
The semiparametric GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) model of Yang (2006, Journal of Econometrics 130, 365-384) has combined the flexibility of a nonparametric link ...
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