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

Applied Economics

Volumn 41, Issue 23, 2009, Pages 3045-3055

  Choi, Pilsun ^a   Min, Insik ^b  

^a Konkuk University   (South Korea)

^b Kyung Hee University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

DEMAND ANALYSIS; ENDOGENOUS GROWTH; ERROR ANALYSIS; ESTIMATION METHOD; HOUSING MARKET; MODEL; PARAMETERIZATION; PREDICTION; REGRESSION ANALYSIS;

ASIA; EURASIA; FAR EAST; KOREA;

EID: 70349661893     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840701335595     Document Type: Article

References (29)

1. Bollerslev, T. (1987) A conditionally heteroskedastic time series model for speculative prices and rate of return, Review of Economics and Statistics, 69, 542-7.
2. Choi, P. (2002) Essays on modeling asymmetric and leptokurtic distributions of asset returns. Ph.D. thesis, Texas A&M University.
3. Christofides, L. N., 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.
4. 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.
5. 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.
6. Hsieh, D. A. (1989) Modeling heteroscedsticity in daily foreign-exchange rates, Journal of Business and Economic Statistics, 7, 307-17.
7. Jonhson, N. L. (1949a) Systems of frequency curves generated by method of transformation, Biometrika, 36,149-76.
8. Jonhson, N. L. (1949b) Bivariate distributions based on simple transformation systems, Biometrika,36, 297-304.
9. Johnson, N. L., Kotz, S. and Balakrishnan, N. (1994) Continuous Univariate Distributions, J. Wiley, New York.
10. Kim, S. J. (1995) Demand for rental housing in Korea with some estimation issues, Journal of Urban Planning and Development, 121, 57-73.
11. Klaauw, B. and Konig, R. H. (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.
12. Koh, C.(2004) Overview of housing policies & programs in Korea, Working Paper, Korea Housing Institute.
13. Kookmin Bank (2002) National Housing Price Index.
14. Lee, L. F. (1978) Unionism and wage rates: a simultaneous equations model with qualitative and limited dependent variables, International Economic Review, 19, 415-33.
15. Lee, L. F. (1982) Some approaches to the correction of selectivity bias, Review of Economic Studies, 49, 355-72.
16. Lee, L. F. (1983) Generalized econometric models with selectivity, Econometrica, 51, 507-12.
17. Lee, L. F. and Trost, R. P. (1978) Estimation of some limited dependent variable models with application to housing demand model, Journal of Econometrics, 8, 357-82.
18. Manrique, J. and Ojah, K. (2003) The demand for housing in Spain: an endogenous switching regression model, Applied Economics, 35, 323-36.
19. McDonald, J. B. (1996) An application and comparison of some flexible parametric and semi-parametric qualitative response models, Economics Letters, 53, 145-52.
20. McDonald, J. B. and Xu, Y. J. (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.
21. McDonald, J. B. and Newey, W. K. (1988) Partially adaptive estimation of regression models via the generalized t distribution, Econometric Theory, 4, 428-57.
22. Nelson, D. B. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-70.
23. Olsen, R. J. (1982) Distributional tests for selectivity bias and a more robust likelihood estimator, International Economic Review, 23, 223-40.
24. Pindado, J. and Torre, C. (2004) Why is ownership endogenous?, Applied Economics Letters, 11, 901-4.
25. Storer, R. H. (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.
26. Terza, J. V. (1998) Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects, Journal of Econometrics, 84, 129-54.
27. Tobias, J. L. (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.
28. 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.
29. Watanabe, T. (2000) Excess kurtosis of conditional distribution for daily stock returns: the case of Japan, Applied Economics Letters, 7, 353-5.