Random-coefficient Models

1. Markov-switching model (MRS)

2. Threshold model

3. Quantile Regression model (QR)

Constant-coefficient regression

• Constant-coefficient regression models have been applied extensively in statistics

• Various random-coefficient models have also emerged as viable competitors in particular fields of application– Quantile regression – Threshold model– Markov switching model

• The conventional regression model – Cross-sectional data– Time-series data

Constant-coefficient regression

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Constant-coefficient regression

• We assume the sensitivities (i.e. β) of y to the x variables are identical for all observations

• the beta is uniform from i=1…,N

• the beta is uniform from t=1…,T

• The beta= the first derivative of y with respect to x

Threshold Models

• The state is observable• The state is identified by if a threshold

variable exceed a critical value• The keys

– how to define the threshold variable?– how to estimate the threshold parameter?

• Applications– cross-sectional data– time-series data

Markov-switching Models

• The state is unobservable

• Estimate the probability of a specific state at each time point

• Transition probability system– How to decide the probability?

• Applications– Time-series data

Quantile regression (QR) model

• The effect of x on y could change by the quantile level of y

• What is the quantile? – the quantile is a statistical term describing a division o

f observations into certain defined intervals based upon the values of the data

– The magnitude of the y variable in term of probability

• Applications– Cross-sectional data

How Many Years for One SSCI Publication?

How Many Years for One SSCI Publication?

2004 2005 2006 2007 2008

SSCI 發表總篇數 1 1 0 2 7+1

IF>0.5 之 SSCI 發表總篇數 0 0 0 1 5

國科會評定之優良國際期刊 0 0 0 1 5

IF 總合 0.327 0.327 0 0.849 3.518

How many SSCI journals in the world?

• Economics: 191

• Management: 81

• Finance: 45

• Accounting: 20 (?)

How to find the reference papers?