Published July 1980
| Submitted
Working Paper
Open
A Time Series Model with Qualitative Variables
- Creators
- Grether, David M.
- Maddala, G. S.
Chicago
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Abstract
This paper considers a distributed lag model in which the dependent variable is observed qualitatively. The relation of our "lagged index" model to other models that have appeared in the literature is discussed and a computationally tractable method of obtaining consistent estimates is presented. The model is applied to data on party identification in the United States. The results obtained indicate that party identification is responsive to changes in individual opinions, especially regarding the performance of an incumbent president.
Additional Information
Financial support from the National Science Foundation is gratefully acknowledged. We would like to thank R. P. H. Fishe for the computations done in Section V; and D. Roderick Kiewiet and Morris P. Fiorina for their many helpful comments. Also, we gratefully acknowledge the Sherman Fairchild Distinguished Scholars Program and the Program for the Study of Enterprise and Public Policy. Published as Grether, David M., and G. S. Maddala. "A time series model with qualitative variables." Games, Economic Dynamics, and Time Series Analysis. Physica, Heidelberg, 1982.Attached Files
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Additional details
- Eprint ID
- 82259
- Resolver ID
- CaltechAUTHORS:20171010-133409078
- NSF
- Sherman Fairchild Foundation
- Caltech Program of Enterprise and Public Policy
- Created
-
2017-10-10Created from EPrint's datestamp field
- Updated
-
2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 332