This paper develops an asymptotic theory for time series discrete choice models with explanatory variables generated as integrated processes and with multiple choices and threshold parameters determining the choices. The theory extends recent work by Park and Phillips (2000) on binary choice models. As in this earlier work, the maximum likelihood (ML) estimator is consistent and has a limit theory with multiple rates of convergence (n^{3/4} and n^{1/4}) and mixture normal distributions where the mixing variates depend on Brownian local time as well as Brownian motion. An extended arc sine limit law is given for the sample proportions of the various choices. The new limit law exhibits a wider range of potential behavior that depends on the values taken by the threshold parameters.
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Length: 37 pages Date of creation: May 2002 Date of revision: Publication status: Published in Journal of Econometrics (2004), 120(1): 103-138 Handle: RePEc:cwl:cwldpp:1364
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Joon Y. Park & Peter C. B. Phillips, 2000.
"Nonstationary Binary Choice,"
Econometrica,
Econometric Society, vol. 68(5), pages 1249-1280, September.
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