Maximum score estimation of a nonstationary binary choice model

Hyungsik Roger Moon

doi:10.1016/j.jeconom.2003.10.027

Maximum score estimation of a nonstationary binary choice model

Hyungsik Roger Moon

Department of Economics

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	385-403
Number of pages	19
Journal	Journal of Econometrics
Volume	122
Issue number	2
DOIs	https://doi.org/10.1016/j.jeconom.2003.10.027
Publication status	Published - 2004 Oct

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1016/j.jeconom.2003.10.027

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Maximum score estimation of a nonstationary binary choice model

Abstract

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