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econ.EM2021
Composite Likelihood for Stochastic Migration Model with Unobserved Factor
Antoine Djogbenou, Christian Gouriéroux, Joann Jasiak +1
We introduce the conditional Maximum Composite Likelihood (MCL) estimation method for the stochastic factor ordered Probit model of credit rating transitions of firms. This model i…
econ.EM2020
Consumer Theory with Non-Parametric Taste Uncertainty and Individual Heterogeneity
Christopher Dobronyi, Christian Gouriéroux
We introduce two models of non-parametric random utility for demand systems: the stochastic absolute risk aversion (SARA) model, and the stochastic safety-first (SSF) model. In eac…