Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

5 Issues per year


IMPACT FACTOR 2016: 0.649

CiteScore 2016: 0.63

SCImago Journal Rank (SJR) 2016: 0.546
Source Normalized Impact per Paper (SNIP) 2016: 0.793

Mathematical Citation Quotient (MCQ) 2016: 0.03

Online
ISSN
1558-3708
See all formats and pricing
More options …
Volume 11, Issue 4

Issues

Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules

Deepankar Basu / Robert M de Jong
Published Online: 2007-12-07 | DOI: https://doi.org/10.2202/1558-3708.1507

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.

This article offers supplementary material which is provided at the end of the article.

About the article

Published Online: 2007-12-07


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 11, Issue 4, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1507.

Export Citation

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston. Copyright Clearance Center

Supplementary Article Materials

Comments (0)

Please log in or register to comment.
Log in