Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
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.
Year of publication: |
2007
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Authors: | Deepankar, Basu ; M, de Jong Robert |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708. - Vol. 11.2007, 4, p. 1-35
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Publisher: |
De Gruyter |
Saved in:
Online Resource
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