All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Henri Nyberg
 
''Testing an autoregressive structure in binary time series models''
( 2010, Vol. 30 No.2 )
 
 
This paper introduces a Lagrange Multiplier (LM) test for testing an autoregressive structure in a binary time series model proposed by Kauppi and Saikkonen (2008). Simulation results indicate that the two versions of the proposed LM test have reasonable size and power properties when the sample size is large. A parametric bootstrap method is suggested to obtain approximately correct sizes also in small samples. The use of the test is illustrated by an application to recession forecasting models using monthly U.S. data.
 
 
Keywords: LM test, Binary response, Dynamic probit model, Parametric bootstrap, Recession forecasting
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Apr 14 2010 Manuscript Accepted : May 18 2010

  This abstract has been downloaded 296 times                The Full PDF of this paper has been downloaded 87716 times