The Annals of Statistics, Vol. 26, No. 3 (Jun., 1998), pp. 1147-1169 (23 pages) This paper provides a comparative sensitivity analysis of one-step Newton-Raphson estimators for linear regression. Such ...

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 ...