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A Monte Carlo EM algorithm for FIML estimation of multivariate endogenous switching models with censored and discrete responses
(Centro de Investigación y Docencia Económicas, División de Economía, 2008)
This article presents a Monte Carlo EM algorithm to estimate multivariate endogenous switching regression models with censored and/or discrete responses and heteroscedastic errors. Advantages of the algorithm include: (1) ...