Discrete choice modeling with nonstationary panels applied to exchange rate regime choice

作者：Jin Sainan^*

来源：Journal of Econometrics, 2009, 150(2): 312-321.

DOI：10.1016/j.jeconom.2008.12.009

• Discrete choice model
• Exchange rate regime
• Fear of floating
• Fixed effects
• Joint limits
• Brownian local time

This paper develops a regression limit theory for discrete choice nonstationary panels with large cross section (N) and timeseries (T) dimensions. Some results emerging from this theory are directly applicable in the wider context of M-estimation. This includes an extension of work by Wooldridge [Wooldridge,J.M., 1994. Estimation and Inference for Dependent Processes. In: Engle, R.F., McFadden, D.L. (Eds.). Handbook of Econometrics, vol. 4, North-Holland, Amsterdam] on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models.
It is shown that the maximum likelihood (ML) estimator is consistent without an incidental parameters problem and has a limit theory with a fast rate of convergence N(1/2)T(3/4) (in the stationary case, the rate is N(1/2)T(1/2)) for the regression coefficients and thresholds, and a normal limit distribution. In contrast, the limit distribution is known to be mixed normal in time series modeling, as shown in [Park, J.Y., Phillips, P.C.B., 2000, Nonstationary binary choice. Econometrica, 68, 1249-1280] (hereafter PP), and [Phillips, P.C.B.Jin, S., Hu, L., 2007. Nonstationary discrete choice: A corrigendum and addendum. journal of Econometrics 141(2), 1115-1130] (hereafter, PJH).
The approach is applied to exchange rate regime choice by monetary authorities, and we provide an analysis of the empirical phenomenon known as "fear of floating".

• 出版日期2009-6
• 单位北京大学