A note on binary choice duration models

作者:Basu Deepankar*; de Jong Robert
来源:Economics Letters, 2009, 102(1): 17-18.
DOI:10.1016/j.econlet.2008.10.001

摘要

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.

  • 出版日期2009-1