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Estimation of an Endogenous Switching Regression Model with Discrete Dependent Variables : Monte-Carlo Analysis and Empirical Application of Three Estimators
Kimhi, Ayal - 1999
The performances of alternative two-stage estimators for the endogenous switching regression model with discrete dependent variables are compared, with regard to their usefulness as starting values for maximum likelihood estimation. This is especially important in the presence of large...
Persistent link: https://www.econbiz.de/10014193103
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Quantile regression analysis of censored data with selection : an application to willingness-to-pay data
Champonnois, Victor; Chanel, Olivier; Protopopescu, Costin - 2022
Persistent link: https://www.econbiz.de/10013342910
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Assessing the precision of turning point estimates in polynomial regression functions
Plassmann, Florenz; Khanna, Neha - In: Econometric reviews 26 (2007) 5, pp. 503-528
Persistent link: https://www.econbiz.de/10003549303
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Forecasting simultaneously high-dimensional time series : a robust model-based clustering approach
Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; … - In: Journal of forecasting 32 (2013) 8, pp. 673-684
Persistent link: https://www.econbiz.de/10010344465
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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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A computational implementation of GMM
Gao, Jiti; Hong, Han - 2014
Persistent link: https://www.econbiz.de/10011780875
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Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
Hauzenberger, Niko; Huber, Florian; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 201-225
Persistent link: https://www.econbiz.de/10014631913
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On tree-structured linear and quantile regression-based asset pricing
Galakis, John; Vrontos, Ioannis; Xidonas, Panos - In: Review of accounting & finance 21 (2022) 3, pp. 204-245
Persistent link: https://www.econbiz.de/10013368270
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Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin; Zhang, Xibin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 55-71
Persistent link: https://www.econbiz.de/10013334620