Re: [Gretl-devel] Lags in gretl's probit
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.
thanks,
sven