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Published July 1980 | Version Submitted
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A Time Series Model with Qualitative Variables

Creators

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.

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Identifiers

Eprint ID
82259
Resolver ID
CaltechAUTHORS:20171010-133409078

Related works

Describes
http://resolver.caltech.edu/CaltechAUTHORS:20171011-143817742 (URL)

Funding

NSF
Sherman Fairchild Foundation
Caltech Program of Enterprise and Public Policy

Dates

Created
2017-10-10
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Updated
2019-10-03
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Caltech Custom Metadata

Caltech groups
Social Science Working Papers
Series Name
Social Science Working Paper
Series Volume or Issue Number
332