In this paper, we show that the sequential logit (SL) model, in which a choice process is characterized as a sequence of independent multinomial logit models, is a limiting case of the nested logit (NL) model. For testing the SL model against the NL model, we propose using the Wald, likelihood...

In this note, I review how to impose the stationarity and invertibility conditions in estimating ARMA models with unconstrained optimization. Specifically, I reintroduce a convenient transformation of unconstrained variables proposed by Jones (1980), illustrating how to compute its inverse...

In this paper, I propose a simple methodology for inferring the correlation between permanent and transitory shocks in unidentified unobserved components (UC) models, where the correlation is not identified. However, I show that there is an upper bound of the correlation implied from the...

Information matrix (IM) test (White, 1982) has been used for detecting general model misspecification in the applied econometrics literature. Two of the most commonly used asymptotic covariance matrix estimators (ACMEs) for the IM test are the one that White (1982) proposed in his original paper...

The well known Jarque-Bera (JB) test for normality uses the sample mean and sample standard deviation for estimating the population mean and population standard deviation. Instead of the sample standard deviation, Gel and Gastwirth (2008) proposed to use a robust scale estimator, known as the...

In this paper, we show that the sequential logit (SL) model, in which a choice process is characterized as a sequence of independent multinomial logit models, is a limiting case of the nested logit (NL) model. For testing the SL model against the NL model, we propose using the Wald, likelihood...