EconPapers    
Economics at your fingertips  
 

Dynamic time series binary choice

Tiemen Woutersen and Robert de Jong

No 365, Econometric Society 2004 North American Summer Meetings from Econometric Society

Abstract: This paper considers dynamic time series binary choice models. 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' smoothed maximum score estimation of dynamic binary choice models with lags of the dependent variable as regressors. 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. One novel aspect of this paper is a proof that weak dependence properties hold for dynamic binary choice models with correlated errors

Keywords: binary choice; near epoch dependence; asymptotic theory; smoothed maximum score (search for similar items in EconPapers)
JEL-codes: C22 C25 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ets
Date: 2004-08-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://repec.org/esNASM04/up.15309.1075481066.pdf (application/pdf)

Related works:
Journal Article: DYNAMIC TIME SERIES BINARY CHOICE (2011) Downloads
Working Paper: Dynamic time series binary choice (2007) Downloads
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:ecm:nasm04:365

Access Statistics for this paper

More papers in Econometric Society 2004 North American Summer Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2019-08-20
Handle: RePEc:ecm:nasm04:365