DYNAMIC TIME SERIES BINARY CHOICE

Robert de Jong and Tiemen Woutersen

Econometric Theory, 2011, vol. 27, issue 4, 673-702

Abstract: 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.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (54)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Dynamic time series binary choice (2007)
Working Paper: Dynamic time series binary choice (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:27:y:2011:i:04:p:673-702_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().