PRELIMINARY DRAFT We discuss maximum likelihood (ML) analysis for panel count data models, in which the observed counts are linked via a measurement density to a latent Gaussian process with spatial as well as temporal dynamics and random effects. For likelihood evaluation requiring...

We propose a dynamic factor model for the analysis of multivariate time series count data. Our model allows for idiosyncratic as well as common serially correlated latent factors in order to account for potentially complex dynamic interdependence between series of counts. The model is estimated...

This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon Efficient Importance Sampling (EIS) which can be used for the analysis of a wide range of econometric models involving integrals without an analytical solution. EIS is a simple, generic and yet accurate...

We use panel probit models with unobserved heterogeneity, state-dependence and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood-based inference of these models requires...

We use panel probit models with unobserved heterogeneity and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood evaluation of these models requires high-dimensional...

We develop a numerical filtering procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-gaussian state-space models. The procedure approximates necessary integrals using continuous or piecewise-continuous approximations of target densities....

In this paper we discuss parameter identification and likelihood evaluation for multinomial multiperiod Probit models. It is shown in particular that the standard autoregressive specification used in the literature can be interpreted as a latent common factor model. However, this specification...