Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules

@article{Basu2007DynamicMO,
  title={Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules},
  author={Deepankar Basu and Robert M. de Jong},
  journal={Studies in Nonlinear Dynamics \& Econometrics},
  year={2007},
  volume={11}
}
  • D. Basu, R. D. de Jong
  • Published 7 December 2007
  • Economics, Mathematics
  • Studies in Nonlinear Dynamics & Econometrics
We present a novel specification of a dynamic multinomial ordered choice model, where the latent variable is a function of strictly stationary exogenous variables and lags of the choice variable. We prove that such a model with weakly dependent errors will have a strictly stationary solution which is L-2 near epoch dependent. We also derive consistency and asymptotic normality of the maximum likelihood estimator for a probit specification of the model. We illustrate a possible application of… 
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