A COMPANION TO Theoretical Econometrics
Discrete choice models
Count data can be modeled by discrete choice model methods, possibly after some grouping of counts to limit the number of categories. For example, the categories may be 0, 1, 2, 3, and 4 or more if few observations exceed four. Unordered models such as multinomial logit are not parsimonious and more importantly are inappropriate. Instead, one should use a sequential discrete choice model that recognizes the ordering of the data, such as ordered logit or ordered probit.
Let us now consider the fundamental problem of testing disturbance normality in the context of the linear regression model: Y = Xp + u, (23.12) where Y = (y1, ..., …
Univariate forecasts are made solely using past observations on the series being forecast. Even if economic theory suggests additional variables that should be useful in forecasting a particular variable, univariate …
Although the discussion in the previous sections has been confined to the possibility of cointegration arising from linear combinations of I(1) variables, the literature is currently proceeding in several interesting …
