Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results
This 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.
|Date of creation:||Aug 1986|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC
|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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.:
- Levine, David, 1983.
"A remark on serial correlation in maximum likelihood,"
Journal of Econometrics,
Elsevier, vol. 23(3), pages 337-342, December.
- David K. Levine, 1983. "A Remark on Serial Correlation in Maximum Likelihood," Levine's Working Paper Archive 176, David K. Levine.
- David Levine, 1981. "A Remark on Serial Correlation in Maximum Likelihood," UCLA Economics Working Papers 215, UCLA Department of Economics.
- Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,"
Econometric Society, vol. 55(3), pages 703-08, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Quandt, Richard E., 1981. "Autocorrelated errors in simple disequilibrium models," Economics Letters, Elsevier, vol. 7(1), pages 55-61.
- Butler, J S & Moffitt, Robert, 1982. "A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model," Econometrica, Econometric Society, vol. 50(3), pages 761-64, May.
- Lee, Lung-Fei, 1984. "The likelihood function and a test for serial correlation in a disequilibrium market model," Economics Letters, Elsevier, vol. 14(2-3), pages 195-200.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
- Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
- Olsen, Randall J, 1978. "Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model," Econometrica, Econometric Society, vol. 46(5), pages 1211-15, September.
- Avery, Robert B & Hansen, Lars Peter & Hotz, V Joseph, 1983. "Multiperiod Probit Models and Orthogonality Condition Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 21-35, February.
When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:803. 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: (Glena Ames)
If references are entirely missing, you can add them using this form.