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Author Dumitrescu, Elena-Ivona ♦ Candelon, Bertrand ♦ Hurlin, Christophe ♦ Palm, Franz C.
Source Hyper Articles en Ligne (HAL)
Content type Text
File Format PDF
Language English
Subject Keyword Non-linear VAR ♦ Multivariate dynamic probit models ♦ Exact maximum likelihood ♦ Impulse-response function ♦ Financial crises ♦ VAR non-linéaire ♦ Probit multivarié dynamique ♦ foction de réponse ♦ Crise financière ♦ shs ♦ Humanities and Social Sciences/Economies and finances
Abstract In 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.
Educational Use Research
Learning Resource Type Article