Dynamic Time Series Binary Choice
This paper considers dynamic time series binary choice models. It proves near epoch dependence and strong mixing for the dynamic binary choice model with correlated errors. Using this result, it shows in a time series setting the validity of the dynamic probit likelihood procedure when lags of the dependent binary variable are used as regressors, and it establishes the asymptotic validity of Horowitz’s smoothed maximum score estimation of dynamic binary choice models with lags of the dependent variable as regressors. For the semiparametric model, the latent error is explicitly allowed to be correlated. It turns out that no long-run variance estimator is needed for the validity of the smoothed maximum score procedure in the dynamic time series framework.
Volume (Year): 27 (2011)
Issue (Month): 04 (August)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
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.:
- Matzkin, Rosa L, 1992. "Nonparametric and Distribution-Free Estimation of the Binary Threshold Crossing and the Binary Choice Models," Econometrica, Econometric Society, vol. 60(2), pages 239-270, March.
- Imbens, Guido W, 1992.
"An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling,"
Econometric Society, vol. 60(5), pages 1187-1214, September.
- Imbens, G.W., 1990. "An Efficient Method Of Moments Estimator For Descrete Choice Models With Choice-Based Sampling," Papers 9009, Tilburg - Center for Economic Research.
- Imbens, G.W., 1991. "An Efficient Method Of Moments Estimator For Discrete Choice Models With Choice-Based Sampling," Harvard Institute of Economic Research Working Papers 1546, Harvard - Institute of Economic Research.
- Imbens, G.W., 1990. "An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling," Discussion Paper 1990-9, Tilburg University, Center for Economic Research.
- Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
- Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
- Dale J. Poirier & Paul A. Ruud, 1988. "Probit with Dependent Observations," Review of Economic Studies, Oxford University Press, vol. 55(4), pages 593-614.
- Dale J. Poirier and Paul A. Ruud., 1987. "Probit with Dependent Observations," Economics Working Papers 8734, University of California at Berkeley.
- Poirier, Dale J. & Ruud, Paul A., 1987. "Probit with Dependent Obervations," Department of Economics, Working Paper Series qt04f5m9t2, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- de Jong, Robert M., 1997. "Central Limit Theorems for Dependent Heterogeneous Random Variables," Econometric Theory, Cambridge University Press, vol. 13(03), pages 353-367, June.
- repec:cup:etheor:v:13:y:1997:i:3:p:353-67 is not listed on IDEAS
- Andrews, Donald W.K., 1988. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Econometric Theory, Cambridge University Press, vol. 4(03), pages 458-467, December.
- Andrews, Donald W. K., 1987. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Working Papers 645, California Institute of Technology, Division of the Humanities and Social Sciences.
- Cosslett, Stephen R, 1983. "Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model," Econometrica, Econometric Society, vol. 51(3), pages 765-782, May.
- Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245 Elsevier.
- Eichengreen, Barry & Watson, Mark W & Grossman, Richard S, 1985. "Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model," Economic Journal, Royal Economic Society, vol. 95(379), pages 725-745, September.
- Donald W.K. Andrews, 1986. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Cowles Foundation Discussion Papers 790, Cowles Foundation for Research in Economics, Yale University. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:27:y:2011:i:04:p:673-702_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.