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Re: st: Breaks in ordered probit model

From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: Breaks in ordered probit model
Date   Mon, 31 Jan 2011 21:19:09 +0000 (GMT)

--- On Mon, 31/1/11, Erik Berwart wrote:
> I have a panel data of credit rating changes for almost 10 years.
> because of the ordered nature of credit rating changes I
> used an ordered probit model to regress the credit rating
> changes.
> I suspect that the coefficients of the regression changes
> through time. I wonder if there is some test to be certain
> of my intuition?
> If it does exist, how can I perform that test?

That is just an interaction with time. The factor variable 
notation is very convenient for that purpose.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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