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Limited-dependent rational expectations models with stochastic thresholds

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  • Hashem Pesaran, M.
  • Ruge-Murcia, Francisco J.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 51 (1996)
Issue (Month): 3 (June)
Pages: 267-276

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Handle: RePEc:eee:ecolet:v:51:y:1996:i:3:p:267-276

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Lee, L.F., 1993. "Rational Expectations in Limited Dependent Variable Models," Papers 93-20, Michigan - Center for Research on Economic & Social Theory.
  2. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, November.
  3. M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.
  4. Donald, Stephen G. & Maddala, G. S., 1992. "A note on the estimation of limited dependent variable models under rational expectations," Economics Letters, Elsevier, vol. 38(1), pages 17-23, January.
  5. Maddala, G.S., 1986. "Disequilibrium, self-selection, and switching models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 28, pages 1633-1688 Elsevier.
  6. M. Hashem Pesaran & Hossein Samiei, 1991. "Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone," UCLA Economics Working Papers 612, UCLA Department of Economics.
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Cited by:
  1. Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
  2. M. Isabel Campos & Zenon Jimenez-Ridruejo, 2003. "Were the peseta exchange rate crises forecastable during target zone period?," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1087-1099.
  3. RUGE-MURCIA, Francisco J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Universite de Montreal, Departement de sciences economiques.
  4. Pesaran, M. Hashem & Samiei, Hossein, 1995. "Limited-dependent rational expectations models with future expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 19(8), pages 1325-1353, November.
  5. M. Isabel Campos & Zenón Jiménez-Ridruejo, . "Were the Peseta Exchange Rate Crises Forecastable During Target Zone Period?," Working Papers on International Economics and Finance 00-07, FEDEA.
  6. M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.
  7. Campos, M. Isabel & Herrera, Julio & Jimenez-Ridruejo, Zenon, 1999. "Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case," ERSA conference papers ersa99pa183, European Regional Science Association.
  8. Anthony D. Hall & Paul Kofman & R. Guido, 1998. "Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits," Research Paper Series 3, Quantitative Finance Research Centre, University of Technology, Sydney.

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