Non-Parametric Approach to Dynamic Time Series Discrete Choice Models

Byeong U. Park, Leopold Simar and Valentin Zelenyuk
Additional contact information
Byeong U. Park: Seoul National University
Valentin Zelenyuk: CEPA - School of Economics, The University of Queensland, https://economics.uq.edu.au/cepa

No WP092013, CEPA Working Papers Series from University of Queensland, School of Economics

Abstract: Dynamic discrete choice models are very important in applied research, frequently used in parametric contexts, and here we develop a non-parametric approach to such models. The main contribution of our work is generalization of the non-parametric quasi-likelihood method to the context that allows for time series models, and in particular with lags of the (discrete) dependent variable appearing among regressors. We show consistency and asymptotic normality of the estimator for such models and illustrate it with simulated and real data examples.

Date: 2013-12
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Working Paper: Non-Parametric Approach to Dynamic Time Series Discrete Choice Models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:qld:uqcepa:196

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