Software development
swopit: Two-regime endogenous switching ordered probit regressions | Website
cnaop: Three-part zero-inflated autoregressive switching ordered probit regressions | Paper
nop: Three-part nested ordered probit regressions | Website
ziop2: Two-part zero-inflated switching ordered probit regressions | Website
ziop3: Three-part zero-inflated switching ordered probit regressions | Website
Publications
A mixture of ordered probit models with endogenous assignment to two latent classes | PDF
The Stata Journal (2022)
Implemented in Stata as swopit
A model for policy interest rates | PDF
with Armin Seibert and Gernot Müller
Journal of Economic Dynamics and Control (2021)
Implemented in R as cnaop
Estimation of nested and zero-inflated ordered probit models | PDF
with David Dale
The Stata Journal (2021)
Implemented in Stata as nop, ziop2 and ziop3; in Python as cnop; and in Gauss
A model for ordinal responses with heterogeneous status quo outcomes | PDF
Studies in Nonlinear Dynamics & Econometrics (2020)
Implemented in Gauss
Modeling zero inflation in count data time series with bounded support | PDF
with Tobias A. Möller, Christian H. Weiß and Hee-Young Kim
Methodology and Computing in Applied Probability (2018)
Working papers
A discrete-choice regime-switching model for the federal funds rate target | PDF
UvA-Econometrics Discussion Paper 2019/01
A model for ordinal responses with an application to policy interest rate | PDF
NBP Working Paper
Policymakers' votes and predictability of monetary policy | PDF
UCSD Economics Working Paper
EERC Working paper
Modeling monetary policy in real time: Does discreteness matter? | PDF
EERC Working paper