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Multivariate dynamic probit models: an application to financial crises mutation

  • B. Candelon
  • , E-I. Dumitrescu
  • , C. Hurlin
  • , F.C. Palm

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic

Abstract

In this article we propose a multivariate dynamic probit model. Our model can be viewed as a nonlinear VAR model for the latent variables associated with correlated binary time-series data. To estimate it, we implement an exact maximum likelihood approach, hence providing a solution to the problem generally encountered in the formulation of multivariate probit models. Our framework allows us to study the predictive relationships among the binary processes under analysis. Finally, an empirical study of three financial crises is conducted.
Original languageEnglish
Title of host publicationVAR Models in Macroeconomics — New Developments and Applications: Essays in Honor of Christopher A. Sims
EditorsT.B. Fomby, L. Kilian, A. Murphy
PublisherEmerald Group Publishing Limited
Pages395-427
Number of pages32
ISBN (Print)978-1-78190-752-8
DOIs
Publication statusPublished - 1 Jan 2013

Publication series

SeriesAdvances in Econometrics
Number32

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