A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior
Bibliographic record
Abstract
This article studies a time series binary probit model in which the underlying latent variable depends on its lag and exogenous regressors. The regression coefficients for the latent variable are allowed to vary over time to capture possible model instability. Bayesian shrinkage priors are applied to automatically differentiate fixed and truly time-varying coefficients and thus avoid unnecessary model complexity. I develop an MCMC algorithm for model estimation that exploits parameter blocking to boost sampling efficiency. An efficient Monte Carlo approximation based on the Kalman filter is developed to improve the numerical stability for computing the predictive likelihood of the binary outcome. Benefits of the proposed model are illustrated in a simulation study and an application to forecast economic recessions.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.004 | 0.015 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.001 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.003 | 0.004 |
| Open science | 0.003 | 0.002 |
| Research integrity | 0.003 | 0.004 |
| Insufficient payload (model declined to judge) | 0.007 | 0.002 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".