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Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an...
Persistent link: https://www.econbiz.de/10012000117
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We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
Persistent link: https://www.econbiz.de/10015198647
In this paper we present a new method for estimating genetic parameters of an F2- generation model. Using an iterative algorithm we derive explicit expressions for the Maximum Likelihood estimates of the additive and dominance effects. Finally we calculate the variance covariance matrix of our...
Persistent link: https://www.econbiz.de/10009789912
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010348412
The (quasi-) maximum likelihood estimator (MLE) for the autoregressive parameter in a spatial autoregressive model cannot in general be written explicitly in terms of the data. The only known properties of the estimator have hitherto been its first-order asymptotic properties (Lee, 2004,...
Persistent link: https://www.econbiz.de/10010126876
The major contribution of this paper is ending a new and flexible way to measure the effects of selection on log-wages. In this context, we offer a general approach to performing decomposition analysis when selection effects are present. We call the difference between unconditional and...
Persistent link: https://www.econbiz.de/10011313942
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