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Re: st: Breaks in ordered probit model


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
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

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

http://www.maartenbuis.nl
--------------------------


      

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