332
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Estimating endogenous switching regression model with a flexible parametric distribution function: application to Korean housing demand

&
Pages 3045-3055 | Published online: 11 Apr 2011

References

  • Bollerslev , T . 1987 . A conditionally heteroskedastic time series model for speculative prices and rate of return . Review of Economics and Statistics , 69 : 542 – 7 .
  • Choi , P . 2002 . Essays on modeling asymmetric and leptokurtic distributions of asset returns. Ph.D. thesis Texas A&M University
  • Christofides , LN , Li , Q , Liu , Z and Min , I . 2003 . Recent two-stage sample selection procedures with an application to the gender wage gap . Journal of Business and Economic Statistics , 21 : 396 – 405 .
  • Chung , E and Shim , J . 2005 . Determinants of ratio of chonsei to monthly-rent-with-variable-deposit contracts in apartment rental housing markets . The Korean Spatial Review , 44 : 87 – 99 .
  • Himmelberg , C , Hubbard , R and Palia , D . 1999 . Understanding the determinants of managerial ownership and the link between ownership and performance . Journal of Financial Economics , 53 : 353 – 84 .
  • Hsieh , DA . 1989 . Modeling heteroscedsticity in daily foreign-exchange rates . Journal of Business and Economic Statistics , 7 : 307 – 17 .
  • Jonhson , NL . 1949a . Systems of frequency curves generated by method of transformation . Biometrika , 36 : 149 – 76 .
  • Jonhson , NL . 1949b . Bivariate distributions based on simple transformation systems . Biometrika , 36 : 297 – 304 .
  • Johnson , NL , Kotz , S and Balakrishnan , N . 1994 . Continuous Univariate Distributions , New York : J. Wiley .
  • Kim , SJ . 1995 . Demand for rental housing in Korea with some estimation issues . Journal of Urban Planning and Development , 121 : 57 – 73 .
  • Klaauw , B and Konig , RH . 2003 . Testing the normality assumption in the sample selection model with an application to travel demand . Journal of Business and Economic Statistics , 21 : 31 – 42 .
  • Koh , C . 2004 . Overview of housing policies & programs in Korea Working Paper, Korea Housing Institute
  • Kookmin Bank . 2002 . National Housing Price Index
  • Lee , LF . 1978 . Unionism and wage rates: a simultaneous equations model with qualitative and limited dependent variables . International Economic Review , 19 : 415 – 33 .
  • Lee , LF . 1982 . Some approaches to the correction of selectivity bias . Review of Economic Studies , 49 : 355 – 72 .
  • Lee , LF . 1983 . Generalized econometric models with selectivity . Econometrica , 51 : 507 – 12 .
  • Lee , LF and Trost , RP . 1978 . Estimation of some limited dependent variable models with application to housing demand model . Journal of Econometrics , 8 : 357 – 82 .
  • Manrique , J and Ojah , K . 2003 . The demand for housing in Spain: an endogenous switching regression model . Applied Economics , 35 : 323 – 36 .
  • McDonald , JB . 1996 . An application and comparison of some flexible parametric and semi-parametric qualitative response models . Economics Letters , 53 : 145 – 52 .
  • McDonald , JB and Xu , YJ . 1996 . A comparison of semi-parametric and partially adaptive estimators of the censored regression model with possibly skewed and leptokurtic error distributions . Economics Letters , 53 : 153 – 9 .
  • McDonald , JB and Newey , WK . 1988 . Partially adaptive estimation of regression models via the generalized t distribution . Econometric Theory , 4 : 428 – 57 .
  • Nelson , DB . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
  • Olsen , RJ . 1982 . Distributional tests for selectivity bias and a more robust likelihood estimator . International Economic Review , 23 : 223 – 40 .
  • Pindado , J and Torre , C . 2004 . Why is ownership endogenous? . Applied Economics Letters , 11 : 901 – 4 .
  • Storer , RH . 1988 . Comparison methods for fitting data using Johnson translation distributions Proceedings of the 20th conference on winter simulation, ACM Press, New York, pp. 476–481
  • Terza , JV . 1998 . Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects . Journal of Econometrics , 84 : 129 – 54 .
  • Tobias , JL . 2003 . The effects of cognitive ability and high school quality on college entry decision: nonparametric estimation of parameters of interest . Applied Economics , 35 : 209 – 15 .
  • Vittal , S and Hajela , P . 2003 . Probabilistic design using empirical distributions. 44th AIAA/ASME/ASCE/AHS/ASC Structures Structural Dynamics and Materials Conference. Norfolk, VA
  • Watanabe , T . 2000 . Excess kurtosis of conditional distribution for daily stock returns: the case of Japan . Applied Economics Letters , 7 : 353 – 5 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.