Abstract
This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purposes, we find that the maximum score estimator and smoothed maximum score estimator are at least √n-consistent. Comparing this rate to the convergence rate of the parametric maximum likelihood estimator (MLE), we show that when a normalization restriction is imposed on the parameter, the Park and Phillips (2000, Econometrica 68, 1249-1280) parametric MLE converges at a rate of n3/4 and its limiting distribution is a mixed normal. Finally, we show briefly how to apply our estimation method to a nonstationary single-index model.
Original language | English |
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Pages (from-to) | 721-742 |
Number of pages | 22 |
Journal | Econometric Theory |
Volume | 22 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2006 Aug |
All Science Journal Classification (ASJC) codes
- Social Sciences (miscellaneous)
- Economics and Econometrics