Modelling the Confidence in Industry in Romania and other European Member Countries Using the Ordered Logit Model

Mariana Gagea ()
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Mariana Gagea: Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, Blvd. Carol I nr. 22, Iaşi, 700505, Romania

Journal for Economic Forecasting, 2014, issue 1, 15-34

Abstract: The application of qualitative choice models is usually made by neglecting the analysis of autocorrelated and heteroscedastic errors. In the current paper, we aim to evaluate and mitigate the effects of violation of such a hypothesis using as example the modeling of confidence in industry in relation to the macroeconomic indicators for six countries of the European Union. The ordered Logit model identified in the paper revealed the common macroeconomic factors which explain the formation of confidence in industry for the countries considered in the analysis. By mitigating the heteroscedasticity problems and specifying in the model the functional form of the error dispersion, the statistically significant improvement of the model performance was obtained.

Keywords: industrial confidence indicators; ordered logit model; Granger causality test; heteroscedasticity (search for similar items in EconPapers)
JEL-codes: C12 C25 C87 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2014:i:1:p:15-34

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