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@univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti