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Dynamic multinomial ordered choice with an application to the estimation of monetary policy rules

Basu, Deepankar; Jong, Robert M. de - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10009513648

A location model with an endogenous dummy variable

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Are US real house prices stationary? : new evidence from univariate and panel data

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The sum of the reciprocal of the random walk

Michel, Jon; Jong, Robert M. de - In: Econometric theory 36 (2020) 1, pp. 170-183

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Mixing properties of the dynamic Tobit model with mixing errors

Michel, Jon; Jong, Robert M. de - In: Economics letters 162 (2018), pp. 112-115

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A property of the Hodrick-Prescott filter and its application

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Dynamic multinomial ordered choice with an application to the estimation of monetary policy rules

Basu, Deepankar; Jong, Robert M. de - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10009949908

Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules

Basu, Deepankar; Jong, Robert de - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 4, pp. 1507-1507

We present a novel specification of a dynamic multinomial ordered choice model, where the latent variable is a function of strictly stationary exogenous variables and lags of the choice variable. We prove that such a model with weakly dependent errors will have a strictly stationary solution...

Persistent link: https://www.econbiz.de/10005751377

Convergence of averages of scaled functions of I(1) linear processes

Jong, Robert M. de - In: Economics Letters 71 (2001) 1, pp. 27-33

Persistent link: https://www.econbiz.de/10005095286

Nonlinear minimization estimators in the presence of cointegrating relations

Jong, Robert M. de - In: Journal of Econometrics 110 (2002) 2, pp. 241-259

Persistent link: https://www.econbiz.de/10005052890