Nonparametric estimation of dynamic discrete choice models for time series data

The non-parametric quasi-likelihood method is generalized to the context of discrete choice models for time series data where dynamics is modelled via lags of the discrete dependent variable appearing among regressors. Consistency and asymptotic normality of the estimator for such models in the general case is derived under the assumption of stationarity with strong mixing condition. Monte Carlo examples are used to illustrate performance of the proposed estimator relative to the fully parametric approach. Possible applications for the proposed estimator may include modelling and forecasting of probabilities of whether a subject would get a positive response to a treatment, whether in the next period an economy would enter a recession, or whether a stock market will go down or up, etc.(This abstract was borrowed from another version of this item.)