[Gretl-devel] Lags in gretl's probit
svetosch at gmx.net
Thu May 26 11:01:36 EDT 2016
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
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.
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?
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