作者：FORESI, S; PERACCHI, F
作者单位：G d'Annunzio University of Chieti-Pescara; Bocconi University
摘要：In this article we describe the cumulative distribution function of excess returns conditional on a broad set of predictors that summarize the state of the economy. We do so by estimating a sequence of conditional logit models over a grid of values of the response variable. Our method uncovers higher-order multidimensional structure that cannot be found by modeling only the first two moments of the distribution. We compare two approaches to modeling: one based on a conventional linear logit mo...
作者：FAN, YQ; GENCAY, R
摘要：This article proposes a consistent nonparametric test of the hypothesis that the disturbance in a linear regression model is distributed symmetrically around zero. Simulation results show that the test has good size and power properties for sample sizes as small as 50. We illustrate the use of the test in a cross-country model of inflation and monetary growth.
作者：CROUCHLEY, R
摘要：This article presents a random-effects model for multivariate and grouped univariate ordered categorical data. The assumed family of distributions for the random effects adopts a wide variety of forms and shapes. The model's likelihood has a closed expression and can be computed without recourse to numerical integration or Gaussian quadrature. A bivariate and a grouped univariate example are used to illustrate the proposed model.
