[Gretl-devel] Lags in gretl's probit

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Thu May 26 17:11:50 EDT 2016


On Thu, 26 May 2016, Sven Schreiber wrote:

> Am 26.05.2016 um 17:57 schrieb Riccardo (Jack) Lucchetti:
>> On Thu, 26 May 2016, Sven Schreiber wrote:
>> 
>>> 
>>> 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?
>> 
>> Well, in a way.
>> 
>> Section 3 states quite clearly that maximising the standard
>> log-likelihood gives you perfctly standard inference.
>
> Right. Follow-up: What about h-step forecasting? Does gretl do it in this 
> case (I know, I should just try for myself...) and if so, does it do the 
> right thing? AFAI remember the forecasting was one of the main topics of 
> Kauppi&Saikkonen.

I don't know, I haven't read that one. You mean ReStat 2008, right? I'll 
read it asap.

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   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti at univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
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