Two extensions of a parametric model are proposed, each one involving the score function of an alternative parametric model. We show that the encompassing hypothesis is equivalent to standard conditions on the score of each of the extended models. The condition on the first extension gives rise...

This paper is concerned with Markov chain Monte Carlo based Bayesian inference in generalized models of stochastic volatility defined by heavy-tailed student-t distributions (with unknown degrees of freedom) and covariate effects in the observation and volatility equations. A simple, fast and...

Internal market structure analysis infers both brand attributes and consumer preferences for those attributes from preference or choice data. The authors exploit a new method for estimating probit models from panel data to infer market structures that can be displayed in few dimensions, even...

We describe how to recursively simulate choice probabilities in the multiperiod multinomial probit model using the GHK algorithm. We also provide GAUSS code to implement the method.

Pricing-to-market (PTM) theory suggests that exporting monopolistic firms adjust their destination-specific mark-ups in the face of exchange rate shocks. A large proportion of the existing evidence for PTM comes from Wald tests applied to OLS- and IV-estimated parameters of single-equation...

This paper considers the determinants of a binary indicator for the existence of functional limitations using seven waves (1991–1997) of the British Household Panel Survey (BHPS). The focal point of our analysis is the contributions of state dependence, heterogeneity and serial correlation in...

We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between two densities, which in turn 'mean adjusts' the Likelihood-Ratio...