Dynamic Log-Linear Probability Model with Interactions

Christian Gouriéroux () and Nour Meddahi ()
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Christian Gouriéroux: University of Toronto
Nour Meddahi: Toulouse School of Economics

A chapter in Seven Decades of Econometrics and Beyond, 2025, pp 453-473 from Springer

Abstract: 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.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:adschp:978-3-031-92699-0_17

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DOI: 10.1007/978-3-031-92699-0_17

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