Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index

DOI10.14490/JJSS.33.1zbMath1023.62114OpenAlexW2063939115MaRDI QIDQ4434181

Yasuhiro Omori

Publication date: 4 November 2003

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.33.1

zbMATH Keywords

Markov chain Monte Carlo methodstate space modelautoregressive random effectsdiscrete proportional hazards modelsequential probit model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Numerical analysis or methods applied to Markov chains (65C40)

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