Li, Mingliang; Poirier, Dale J.; Tobias, Justin L. - In: Journal of Applied Econometrics 19 (2004) 2, pp. 203-225
In this paper we describe methods for predicting distributions of outcome gains in the framework of a latent variable selection model. We describe such procedures for Student-t selection models and a finite mixture of Gaussian selection models. Importantly, our algorithms for fitting these...