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A note on binary choice duration models

Deepankar Basu and Robert de Jong

Economics Letters, 2009, vol. 102, issue 1, 17-18

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.

Keywords: Binary; choice; Duration; models (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:eee:ecolet:v:102:y:2009:i:1:p:17-18