Nonstationary Discrete Choice: A Corrigendum and Addendum

We correct the limit theory presented in an earlier paper by Hu and Phillips [2004a. Nonstationary discrete choice. Journal of Econometrics 120, 103-138] for nonstationary time series discrete choice models with multiple choices and thresholds. The new limit theory shows that, in contrast to the bin...

Full description

Saved in:
Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., JIN, Sainan, HU, Ling
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/285
https://ink.library.smu.edu.sg/context/soe_research/article/1284/viewcontent/Nonstationary_discrete_choice_Corrigendum_2007.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.soe_research-1284
record_format dspace
spelling sg-smu-ink.soe_research-12842018-12-12T08:15:16Z Nonstationary Discrete Choice: A Corrigendum and Addendum PHILLIPS, Peter C. B. JIN, Sainan HU, Ling We correct the limit theory presented in an earlier paper by Hu and Phillips [2004a. Nonstationary discrete choice. Journal of Econometrics 120, 103-138] for nonstationary time series discrete choice models with multiple choices and thresholds. The new limit theory shows that, in contrast to the binary choice model with nonstationary regressors and a zero threshold where there are dual rates of convergence (n1/4 and n3/4), all parameters including the thresholds converge at the rate n3/4. The presence of nonzero thresholds therefore materially affects rates of convergence. Dual rates of convergence reappear when stationary variables are present in the system. Some simulation evidence is provided, showing how the magnitude of the thresholds affects finite sample performance. A new finding is that predicted probabilities and marginal effect estimates have finite sample distributions that manifest a pile-up, or increasing density, towards the limits of the domain of definition. 2007-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/285 info:doi/10.1016/j.jeconom.2007.01.017 https://ink.library.smu.edu.sg/context/soe_research/article/1284/viewcontent/Nonstationary_discrete_choice_Corrigendum_2007.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Brownian motion Brownian local time Discrete choices Integrated processes Pile-up problem Threshold parameters Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Brownian motion
Brownian local time
Discrete choices
Integrated processes
Pile-up problem
Threshold parameters
Econometrics
spellingShingle Brownian motion
Brownian local time
Discrete choices
Integrated processes
Pile-up problem
Threshold parameters
Econometrics
PHILLIPS, Peter C. B.
JIN, Sainan
HU, Ling
Nonstationary Discrete Choice: A Corrigendum and Addendum
description We correct the limit theory presented in an earlier paper by Hu and Phillips [2004a. Nonstationary discrete choice. Journal of Econometrics 120, 103-138] for nonstationary time series discrete choice models with multiple choices and thresholds. The new limit theory shows that, in contrast to the binary choice model with nonstationary regressors and a zero threshold where there are dual rates of convergence (n1/4 and n3/4), all parameters including the thresholds converge at the rate n3/4. The presence of nonzero thresholds therefore materially affects rates of convergence. Dual rates of convergence reappear when stationary variables are present in the system. Some simulation evidence is provided, showing how the magnitude of the thresholds affects finite sample performance. A new finding is that predicted probabilities and marginal effect estimates have finite sample distributions that manifest a pile-up, or increasing density, towards the limits of the domain of definition.
format text
author PHILLIPS, Peter C. B.
JIN, Sainan
HU, Ling
author_facet PHILLIPS, Peter C. B.
JIN, Sainan
HU, Ling
author_sort PHILLIPS, Peter C. B.
title Nonstationary Discrete Choice: A Corrigendum and Addendum
title_short Nonstationary Discrete Choice: A Corrigendum and Addendum
title_full Nonstationary Discrete Choice: A Corrigendum and Addendum
title_fullStr Nonstationary Discrete Choice: A Corrigendum and Addendum
title_full_unstemmed Nonstationary Discrete Choice: A Corrigendum and Addendum
title_sort nonstationary discrete choice: a corrigendum and addendum
publisher Institutional Knowledge at Singapore Management University
publishDate 2007
url https://ink.library.smu.edu.sg/soe_research/285
https://ink.library.smu.edu.sg/context/soe_research/article/1284/viewcontent/Nonstationary_discrete_choice_Corrigendum_2007.pdf
_version_ 1770569099414339584