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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

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Online
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1558-3708
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Volume 11, Issue 4 (Dec 2007)

Issues

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

Deepankar Basu
  • 1Ohio State University,
/ Robert M de Jong
  • 2Ohio State University,
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.

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Published Online: 2007-12-07


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

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