A note on binary choice duration models

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.

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Year of publication:	2009
Authors:	Basu, Deepankar ; de Jong, Robert
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 102.2009, 1, p. 17-18
Publisher:	Elsevier
Subject:	Binary choice Duration models

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005355715