Abstract

1 Introduction. 2 The Control Function Approach to Dealing with Endogeneity for Models with Constant Coefficients: Basic Framework 3. Markov-Switching Models with Endogenous Regressors. 4 Markov-Switching Models with Endogenous Switching: When the State Variable and Regression Disturbance Are Correlated. 5 Time-Varying Parameter Models with Endogenous Regressors. 6 Concluding Remarks. References.

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