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A note on binary choice duration models

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  • Basu, Deepankar
  • de Jong, Robert

Abstract

We demonstrate that standard methods of asymptotic inference break down for a binary choice duration model in a time series setting. This is because the dependent variable has a degenerate limit distribution, which makes the asymptotic variance-covariance matrix singular.

Suggested Citation

  • Basu, Deepankar & de Jong, Robert, 2009. "A note on binary choice duration models," Economics Letters, Elsevier, vol. 102(1), pages 17-18, January.
    • Handle: RePEc:eee:ecolet:v:102:y:2009:i:1:p:17-18
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    References listed on IDEAS

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    1. Frederiksen, Anders & Honore, Bo E. & Hu, Luojia, 2007. "Discrete time duration models with group-level heterogeneity," Journal of Econometrics, Elsevier, vol. 141(2), pages 1014-1043, December.
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    Cited by:

    1. Hafner, Christian M. & Preminger, Arie, 2015. "A note on the Tobit model in the presence of a duration variable," Economics Letters, Elsevier, vol. 126(C), pages 47-50.

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    Keywords

    Binary choice Duration models;

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