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.
Ed. by Mizrach, Bruce
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Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
1Ohio State University, basu.15@osu.edu
2Ohio State University, dejong@econ.ohio-state.edu
Citation Information: Studies in Nonlinear Dynamics & Econometrics. Volume 11, Issue 4, Pages –, ISSN (Online) 1558-3708, DOI: 10.2202/1558-3708.1507, December 2007
Publication History:
- Published Online:
- 2007-12-07
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