24-016/III - A Score-Driven Filter for Causal Regression Models with Time-Varying Parameters and Endogenous Regressors

• Authors
  Francisco Blasques, Vrije Universiteit Amsterdam; Noah Stegehuis, Vrije Universiteit Amsterdam
• Publication date
  February 29, 2024

• Keywords
  observation-driven models, time-varying parameters, causal inference, endogeneity, instrumental variables
• JEL
  C01, C22, C26