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Equa- tion (11) shows that the conditional covariance matrix implied by our model is similar to that of the factor GARCH model of Engle et al.. A major difference between these
Using a lognormal model and a Gamma model, we illustrate for both Gaussian and non-Gaussian responses that imposing monotonicity con- straints on the nonparametric terms for
A rare econometrics article that discusses some of the multivariate issues is that of Bandi and Russell (2005), whereas the case of no noise was dealt with by Barndorff-Nielsen
Usually, the sample selection model is estimated either by maximum likelihood or by Heckman’s two-step procedure (Heckman 1979), under the assumption that the error term in
Using the data set of Watanabe (2000), Liesenfeld and Richard estimated the sto- chastic volatility model and the Tauchen and Pitts (1983) model based on the maximum likelihood
In con- trast, we found that deans from private business schools judged interacting with students, classroom teaching, and ser- vice to the university to be significantly
Using data from the Pennsylvania and Washington experiments, we simulate the effects of using a two-step profiling model to target bonus offers to claimants with a high
Assuming current and prospective eld- erly would respond in a manner similar to those affected by the notch, our estimates imply that a 10 percent cut in Social Security benefits
