Re: [Gretl-devel] Lags in gretl's probit

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. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- ------------------------------------------------------------------------ _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel