The multinomial probit (MP) and ordered probit (OP) models have been widely used in empirical econometric analyses in which a dependent variable falls into several categories. In this paper, we consider another class of probit models, called the correlated sequential probit(CSP) model, and show...

The random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random autoregressive coefficient is one, it is called the stochastic unit root model. This paper...

We call the realized variance (RV) calculated with observed prices contaminated by (market) microstructure noises (MNs) the noise-contaminated RV (NCRV), referring to the bias component in the NCRV associated with the MNs as the MN component. This paper develops a state space method for...

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 study, we considered a matrix operator that stacks up generically distinct elements of a symmetric matrix in a way different from the well-known "vech" operator. We call this operator the "vecp" operator. The vecp operator is similar to the vech operator, but it is more useful in...

We introduce a matrix operator, which we call "vecd'' operator. This operator stacks up "diagonals'' of a symmetric matrix. This operator is more convenient for some statistical analyses than the commonly used "vech'' operator. We show an explicit relationship between the vecd and vech...