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Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
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Deepankar Basu
Veröffentlicht/Copyright:
7. Dezember 2007
We present a novel specification of a dynamic multinomial ordered choice model, where the latent variable is a function of strictly stationary exogenous variables and lags of the choice variable. We prove that such a model with weakly dependent errors will have a strictly stationary solution which is L-2 near epoch dependent. We also derive consistency and asymptotic normality of the maximum likelihood estimator for a probit specification of the model. We illustrate a possible application of the model by estimating a discrete version of a robust ``difference" monetary policy rule for the period 1990:2006 at a monthly frequency.
Published Online: 2007-12-7
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Article
- Movements in the Equity Premium: Evidence from a Time-Varying VAR
- Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
- Jump-and-Rest Effect of U.S. Business Cycles
- Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models
- The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
