Maximum score estimation of a nonstationary binary choice model

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

This paper studies the estimation of a simple binary choice model in which explanatory variables include nonstationary variables and the distribution of the model is not known. We find a set of conditions under which the coefficients of the nonstationary variables are identified. We show that the maximum score estimator of the nonstationary coefficients is consistent.

Original languageEnglish
Pages (from-to)385-403
Number of pages19
JournalJournal of Econometrics
Volume122
Issue number2
DOIs
Publication statusPublished - 2004 Oct 1

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Binary Choice
Choice Models
Coefficient
Estimator
Binary choice model
Coefficients
Model

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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title = "Maximum score estimation of a nonstationary binary choice model",
abstract = "This paper studies the estimation of a simple binary choice model in which explanatory variables include nonstationary variables and the distribution of the model is not known. We find a set of conditions under which the coefficients of the nonstationary variables are identified. We show that the maximum score estimator of the nonstationary coefficients is consistent.",
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Maximum score estimation of a nonstationary binary choice model. / Moon, Hyungsik Roger.

In: Journal of Econometrics, Vol. 122, No. 2, 01.10.2004, p. 385-403.

Research output: Contribution to journalArticle

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