no code implementations • 19 Sep 2021 • Antoine Djogbenou, Christian Gouriéroux, Joann Jasiak, Maygol Bandehali
We introduce the conditional Maximum Composite Likelihood (MCL) estimation method for the stochastic factor ordered Probit model of credit rating transitions of firms.
no code implementations • 26 Oct 2020 • Christopher Dobronyi, Christian Gouriéroux
In each model, individual-level heterogeneity is characterized by a distribution $\pi\in\Pi$ of taste parameters, and heterogeneity across consumers is introduced using a distribution $F$ over the distributions in $\Pi$.
