In this paper, we consider estimation of a time-varying parameter model for a forwardlooking monetary policy rule, by employing ex-post data. A Heckman-type (1976) two-step procedure is employed in order to deal with endogeneity in the regressors. This allows us to econometrically take into account changing degrees of uncertainty associated with the Fed's forecasts of future in°ation and GDP ga...

This study aims to examine the relationship of having financial statements audited by external auditors and access bank credit, using data from Business Environment Enterprise Performance Survey (BEEPS). Among firms credit access, this research further analyses impacts auditing on loan value, rate, term (duration) applying Heckman two-step models with sample selection. Results show that have be...

This article studies the problem of testing partial parameter stability in cointegrated regression models. The existing literature considers a variety models depending on whether all coefficients are allowed to change (pure structural change) or subset is held fixed (partial change). We first show that limit distributions test statistics latter case not invariant changes being tested; fact, the...

This paper presents a new user-written STATA command called ivtreatreg for the estimation of five different (binary) treatment models with and without idiosyncratic (or heterogeneous) average treatment effect. Depending on the model specified by the user, ivtreatreg provides consistent estimation of average treatment effects both under the hypothesis of “selection on observables” and “selection...

The control function approach (Heckman and Robb (1985)) in a system of linear simultaneous equations provides a convenient procedure to estimate one of the functions in the system using reduced form residuals from the other functions as additional regressors. The conditions on the structural system under which this procedure can be used in nonlinear and nonparametric simultaneous equations has ...