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Dynamic Log-Linear Probability Model with Interactions

Author

Listed:
  • Christian Gouriéroux

    (University of Toronto
    Toulouse School of Economics and CREST)

  • Nour Meddahi

    (Toulouse School of Economics)

Abstract

The log-linear probability model has been initially introduced by Nerlove and Press (1973) for the analysis of contingency tables constructed from business survey data. We extend this modelling approach to the dynamic analysis of multivariate qualitative processes with the application to technical analysis of financial returns in mind. We develop the dynamic qualitative models with pairwise and/or three-wise interactions, discuss the interpretations of the interaction parameters,study the filtering and prediction algorithms, and compare the approach to machine learning models as the restricted Boltzmann machine and the normalizing flows.

Suggested Citation

  • Christian Gouriéroux & Nour Meddahi, 2025. "Dynamic Log-Linear Probability Model with Interactions," Advanced Studies in Theoretical and Applied Econometrics,, Springer.
    • Handle: RePEc:spr:adschp:978-3-031-92699-0_17
    DOI: 10.1007/978-3-031-92699-0_17
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