The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classicla R/S...

The usual formulation of probit models includes, as endogenous variables, both continuous latent variables and binary observable variables. The solution of simultaneous probit models involving only latent endogenous variables among the explanatory variables is straightforward, provided the...