Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects

DOI10.1080/07350015.2022.2044829MaRDI QIDQ6149871zbMATH OpenOpenAlexFDO

Authors

Publication date 5 March 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2022.2044829

zbMATH Keywords

identificationautocorrelated discrete variablescredit rating transitiondynamic binary choicenonlinear dynamic panel datapersistence of ratings

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 5849508 (Why is no real title available?)
• scientific article; zbMATH DE number 3816888 (Why is no real title available?)
• scientific article; zbMATH DE number 3938400 (Why is no real title available?)
• scientific article; zbMATH DE number 4100431 (Why is no real title available?)
• scientific article; zbMATH DE number 3761278 (Why is no real title available?)
• scientific article; zbMATH DE number 3458075 (Why is no real title available?)
• scientific article; zbMATH DE number 3513115 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator
• A comparison of the maximum simulated likelihood and composite marginal likelihood estimation approaches in the context of the multivariate ordered-response model
• A note on composite likelihood inference and model selection
• A note on pseudolikelihood constructed from marginal densities
• An Optimum Property of Regular Maximum Likelihood Estimation
• Analysis of Covariance with Qualitative Data
• Bayesian Analysis of Binary and Polychotomous Response Data
• Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
• Classification Error in Dynamic Discrete Choice Models: Implications for Female Labor Supply Behavior
• Consistent Estimates Based on Partially Consistent Observations
• Convenient estimators for the panel probit model
• Dynamic time series binary choice
• Econometric analysis of cross section and panel data.
• Efficiency in large dynamic panel models with common factors
• Issues and strategies in the selection of composite likelihoods
• ML, PL, QL in Markov Chain Models
• Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
• Modeling ordered choices. A primer
• Models for discrete longitudinal data.
• Multivariate ordinal regression models: an analysis of corporate credit ratings
• On composite marginal likelihoods
• On the Pooling of Time Series and Cross Section Data
• On weighting of bivariate margins in pairwise likelihood
• Pairwise likelihood inference for ordinal categorical time series
• Panel Data Discrete Choice Models with Lagged Dependent Variables
• Partial likelihood
• Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data
• Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results
• Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model
• The multi-state latent factor intensity model for credit rating transitions
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(1)

• Changepoint detection in autocorrelated ordinal categorical time series

This page was built for publication: Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6149871)