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...

Zero-inflated ordered probit (ZIOP) and middle-inflated ordered probit (MIOP) models are finding increasing favour in the discrete choice literature. Both models consist of a mixture of binary and single ordered probit equations, the combination of which accounts for an "excessive" build-up of...

There are many events in the real world that are far from random. If we could assign significance levels to them based on a rigorous random model, such p-values must be very small indeed. Why should we be interested in such small numbers? Basically because the number -log(pval) is an estimate of...

This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three-factor model, and the Carhart (1997) four-factor model...