A note on binary choice duration models
Deepankar Basu and
Robert de Jong
Economics Letters, 2009, vol. 102, issue 1, 17-18
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)
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