[Gretl-devel] Lags in gretl's probit

Sven Schreiber svetosch at gmx.net
Thu May 26 11:01:36 EDT 2016


Hi,

I've just noticed that it is possible to add (in the GUI) lags of the 
binary dependent variable in the built-in Probit routine. However, there 
are some subtleties involved in this context, so I'm wondering whether 
this has always been possible? Could somebody provide some background on 
gretl's implementation?

For example, there is this quite recent paper:
ROBERT M. DE JONG, TIEMEN WOUTERSEN
DYNAMIC TIME SERIES BINARY CHOICE
Econometric Theory, 27, 2011, 673–702.
doi:10.1017/S0266466610000472

 From the abstract: "...  it shows in a time series setting the validity 
of the dynamic probit likelihood procedure when lags of the dependent 
binary variable are used as regressors ..."

Does gretl rely on this particular paper's findings?

thanks,
sven


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