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.