210
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Eliminating the omitted variable bias by a regime-switching approach

Pages 57-75 | Received 20 May 2008, Published online: 15 Dec 2009

References

  • Dempster , A. , Laird , N. M. and Rubin , D. B. 1977 . Maximum likelihood from incomplete data via the EM algorithm . J.R. Statist. Soc. Ser. B Stat. Methodol. , 39 : 185 – 197 .
  • Fisher , I. 1930 . The Theory of Interest , New York : Macmillan .
  • Fuller , W. A. 1987 . Measurement Error Models , New York : Wiley .
  • Garcia , R. and Perron , P. 1996 . An analysis of real interest rates under regimes shift . Rev. Econ. Statist. , 78 : 111 – 125 .
  • Goldfeld , S. M. and Quandt , R. E. 1973 . A Markov model for switching regressions . J. Econ. , 1 : 3 – 16 .
  • Greene , W. H. 1997 . Econometric Analysis , Englewood Cliffs , NJ : Prentice-Hall .
  • Hamilton , J. D. 1989 . A New approach to the economic analysis of nonstationary time series and the business cycle . Econ. , 57 : 35 – 384 .
  • Hamilton , J. D. 1990 . Analysis of time series subject to changes in regime . J. Econ. , 9 : 27 – 39 .
  • Hamilton , J. D. 1994 . Time Series Analysis , Princeton : University Press .
  • Hamilton , J. D. 1996 . Specification testing in Markov-switching time-series models . J. Econ. , 70 : 127 – 158 .
  • Kim , C. J. and Nelson , C. R. 2000 . State-space Models with Regime Switching, Classical and Gibbs-Sampling Approaches with Application , MA : The MIT Press .
  • Marais , M. L. and Wecker , W. E. 1998 . Correcting for omitted-variables and measurement-error bias in regression with an application to the effect of lead on IQ . J. Amer. Statist. Assoc. , 93 : 494 – 501 .
  • McCullum , B. T. 1972 . Relative asymptotic bias from errors of omission and measurement . Econometrica , 40 : 757 – 758 .
  • Quandt , R. E. 1958 . The estimation of the parameters of a linear regression system obeying two separate regimes . J. Amer. Statist. Assoc. , 53 : 873 – 880 .
  • Quandt , R. E. 1972 . A new approach to estimating switching regressions . J. Amer. Statist. Assoc. , 67 : 306 – 310 .
  • Redner , R. A. and Walker , H. F. 1984 . Mixture densities, maximum likelihood and the EM algorithm . Math. Model. Comput. , 26 : 195 – 239 .
  • Ruud , P. 1991 . Extensions of estimation methods using the EM algorithm . J. Econ. , 49 : 305 – 341 .
  • Sessions , D. N. and Stevans , L. K. 2006 . Investigating omitted variable bias in regression parameter estimation: a genetic algorithm approach . Comput. Statist. Data Anal. , 50 : 2835 – 2854 .
  • Timmermann , A. 2000 . Moments of Markov-switching models . J. Econ. , 96 : 75 – 111 .
  • Titterington , D. M. , Smith , A. F.M. and Markov , U. E. 1985 . Statistical Analysis of Mixture Distributions , Chichester : John Wiley & Sons .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.