Showing 1 - 6 of 6
Heckman’s (1976, 1979) sample selection model has been employed in many studies of linear or nonlinear regression applications. It is well known that ignoring the sample selectivity problem may result in inconsistency of the estimator due to the correlation between the statistical errors in...
Persistent link: https://www.econbiz.de/10010857153
This paper considers the maximum likelihood estimation of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in Luceno (1996). The coverage of this class of VARFIMA processes is quite general and includes the model...
Persistent link: https://www.econbiz.de/10008458468
Persistent link: https://www.econbiz.de/10003720632
Persistent link: https://www.econbiz.de/10003819931
Persistent link: https://www.econbiz.de/10009579348
Persistent link: https://www.econbiz.de/10012040407