Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
AbstractIn this paper we propose a multivariate dynamic probit model. Our model can be considered as a non-linear 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 apprehend dynamics and causality in several ways. Furthermore, we propose an impulse-response analysis for such models. An empirical application on three nancial crises is nally proposed.
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Date of creation: 28 Jun 2012
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Non-linear VAR; Multivariate dynamic probit models; Exact maximum likelihood; Impulse-response function; Financial crises;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-22 (All new papers)
- NEP-BAN-2011-10-22 (Banking)
- NEP-CBA-2011-10-22 (Central Banking)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-ECM-2011-10-22 (Econometrics)
- NEP-IFN-2011-10-22 (International Finance)
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