A Caltech Library Service

A Time Series Model with Qualitative Variables

Grether, David M. and Maddala, G. S. (1980) A Time Series Model with Qualitative Variables. Social Science Working Paper, 332. California Institute of Technology , Pasadena, CA. (Unpublished)

[img] PDF (sswp 332 - Jul. 1980) - Submitted Version
See Usage Policy.


Use this Persistent URL to link to this item:


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.

Item Type:Report or Paper (Working Paper)
Related URLs:
URLURL TypeDescription ItemPublished Version
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.
Group:Social Science Working Papers
Funding AgencyGrant Number
Sherman Fairchild FoundationUNSPECIFIED
Caltech Program of Enterprise and Public PolicyUNSPECIFIED
Series Name:Social Science Working Paper
Issue or Number:332
Record Number:CaltechAUTHORS:20171010-133409078
Persistent URL:
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:82259
Deposited By: Jacquelyn Bussone
Deposited On:10 Oct 2017 20:57
Last Modified:03 Oct 2019 18:52

Repository Staff Only: item control page