Nonstationary discrete choice

DOI10.1016/S0304-4076(03)00208-2zbMath1282.91268OpenAlexW3123447318MaRDI QIDQ2439053

Ling Hu, Peter C. B. Phillips

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00208-2

zbMATH Keywords

maximum likelihood estimationBrownian motionBrownian local timedual convergence ratesintegrated time seriesthreshold parametersdiscrete choice modelextended arc sine laws

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Local time and additive functionals (60J55)

Related Items (9)

Nonstationary discrete choice: a corrigendum and addendum ⋮ Nonlinearity, nonstationarity, and spurious forecasts ⋮ Significance test in nonstationary multinomial logit model ⋮ Testing for joint significance in nonstationary ordered choice model ⋮ A note on nonlinear models with integrated regressors and convergence order results ⋮ Significance test in nonstationary logit panel model with serially correlated dependent variable ⋮ DYNAMIC TIME SERIES BINARY CHOICE ⋮ A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

Cites Work

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• Testing for a unit root in time series regression
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonstationary Binary Choice
• Time Series Regression with a Unit Root

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