Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results
AbstractThis paper analyzes the consistency properties of classical estimators for limited dependent variables models, under conditions of serial correlation in the unobservables. A unified method of proof is used to show that for certain cases (e.g., Probit, Tobit and Normal Switching Regimes models, which are normality-based) estimators that neglect particular types of serial dependence (specifically, corresponding to the class of "mixing" processes) are still consistent. The same line of proof fails for the analogues to the above models that impose logistic distributional assumptions, thus indicating that normality plays a special role in these problems. Sets of Monte-Carlo experiments are then carried out to investigate these theoretical results.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 803.
Length: 38 pages
Date of creation: Aug 1986
Date of revision:
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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