Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation

Bertrand Candelon, Elena-Ivona Dumitrescu, Christophe Hurlin and Franz C. Palm

A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 395-427 from Emerald Group Publishing Limited

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.

Keywords: Nonlinear VAR; multivariate dynamic probit models; exact maximum likelihood; impulse-response function; financial crises; C35; F37 (search for similar items in EconPapers)
Date: 2013
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Related works:
Working Paper: Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation (2013)
Working Paper: Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2013)0000031011

DOI: 10.1108/S0731-9053(2013)0000031011

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