Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation

Elena Ivona Dumitrescu, Bertrand Candelon, Christophe Hurlin and Franz Palm

Working Papers from HAL

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.

Keywords: 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 (search for similar items in EconPapers)
Date: 2012-06-28
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cis, nep-ecm and nep-ifn
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00630036v2
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Citations: View citations in EconPapers (4)

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Related works:
Chapter: Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation (2013)
Working Paper: Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation (2013)
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