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Econometric estimation in long-range dependent volatility models : theory and practice

Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83

Persistent link: https://www.econbiz.de/10003783786

Local likelihood estimation of truncated regression and its partial derivatives : theory and application

Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin - In: Journal of econometrics 146 (2008) 1, pp. 185-198

Persistent link: https://www.econbiz.de/10003778287

Semiparametric estimation of a binary response model with a change-point due to a covariate threshold

Lee, Sokbae; Seo, Myung Hwan - In: Journal of econometrics 144 (2008) 2, pp. 492-499

Persistent link: https://www.econbiz.de/10003774693

Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos

Shintani, Mototsugu; Linton, Oliver - In: Journal of econometrics 120 (2004) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10001998813

Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371

Persistent link: https://www.econbiz.de/10003354581

A Bayesian semiparametric latent variable model for mixed responses

Fahrmeir, Ludwig (contributor); Raach, Alexander (contributor) - 2006

In this article we introduce a latent variable model (LVM) for mixed ordinal and continuous responses, where covariate effects on the continuous latent variable are modelles through a flexible semiparametric predictor. We extend existing LVM with simple linear covariate effects by including...