Recent content by thedreamshaper

Suppose I wish to estimate a logit model to predict Large losses when trading stocks, well I might say y_t = 1 if that trade was a large loss. But when I would then try to estimate a model to predict these large losses I would essentially just be modelling which stocks are most volatile. Ie. I...

Suppose i have some logit model with, say, 7 explanatory variables and i wish to add another variable, x8. x8 is in the interval [1,5] and i would suspect that low values have a negative effect on the probability of y=1 while a higher value would tend to indicate a higher probability of y=1...

I am looking for a test for reducing the order of a markov chain with state space {0,1} from k to 0. The chain is observed only once for length T. I have looked at Hoel (1954) "A Test for Markoff Chains A TEST FOR MARKOFF CHAINS". But it only covers sequential reduction, from K to K-1. Any...