EWS (version 0.2.0)

Logistic_Estimation: Logistic Estimation for Dichotomous Analysis

Description

This function provides methods for estimating the four dichotomous models as in Kauppi & Saikkonen (2008). Based on a logit approach, models are estimated in a univariate or a balanced panel framework as in Candelon, Dumitrescu and Hurlin (2014). This estimation has been used in recent papers such in Ben Naceur, Candelon and Lajaunie (2019) and Hasse and Lajaunie (2020).

Usage

Logistic_Estimation(Dicho_Y, Exp_X, Intercept, Nb_Id, Lag, type_model)

Arguments

Dicho_Y

Vector of the binary time series.

Exp_X

Vector or Matrix of explanatory time series.

Intercept

Boolean value: TRUE for an estimation with intercept, and FALSE otherwise.

Nb_Id

Number of individuals studied for a panel approach. Nb_Id=1 in the univariate case.

Lag

Number of lags used for the estimation.

type_model

Model number: 1, 2, 3 or 4.

-> 1 for the static model:

$$P_{t-1}(Y_{t}) = F(\pi_{t})=F(\alpha + \beta'X_{t})$$

-> 2 for the dynamic model with lag binary variable:

$$P_{t-1}(Y_{t}) = F(\pi_{t})=F(\alpha + \beta'X_{t} + \gamma Y_{t-l})$$

-> 3 for the dynamic model with lag index variable:

$$P_{t-1}(Y_{t}) = F(\pi_{t})=F(\alpha + \beta'X_{t} + \eta \pi_{t-l})$$

-> 4 for the dynamic model with both lag binary variable and lag index variable:

$$P_{t-1}(Y_{t}) = F(\pi_{t})=F(\alpha + \beta'X_{t} + \eta \pi_{t-l} + \gamma Y_{t-l})$$

Value

A list with:

Estimation

a dataframe containing the coefficients of the logitic estimation, the Standard Error for each coefficient, the Z-score and the associated critical probability

AIC

a numeric vector containing the Akaike information criterion

BIC

a numeric vector containing the Bayesian information criterion

R2

a numeric vector containing the Pseudo R Square

index

a numeric vector containing the estimated index

prob

a numeric vector containing the estimated probabilities

LogLik

a numeric vector containing the Log likelihood value of the estimation

VCM

a numeric matrix of the Variance Covariance of the estimation

References

Candelon, Bertrand, Elena-Ivona Dumitrescu, and Christophe Hurlin. "Currency crisis early warning systems: Why they should be dynamic." International Journal of Forecasting 30.4 (2014): 1016-1029.

Hasse, Jean-Baptiste, Lajaunie Quentin. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis." (2020)

Kauppi, Heikki, and Pentti Saikkonen. "Predicting US recessions with dynamic binary response models." The Review of Economics and Statistics 90.4 (2008): 777-791.

Naceur, Sami Ben, Bertrand Candelon, and Quentin Lajaunie. "Taming financial development to reduce crises." Emerging Markets Review 40 (2019): 100618.

Examples

# NOT RUN {
# NOT RUN {

# Import data
data("data_USA")

# Data process
Var_Y <- as.vector(data_USA$NBER)
Var_X <- as.vector(data_USA$Spread)

# Estimate the logit regression
results <- Logistic_Estimation(Dicho_Y = Var_Y, Exp_X = Var_X, Intercept = TRUE,
                      Nb_Id = 1, Lag = 1, type_model = 1)

# print results
results

# }

# }