Nonstationary Discrete Choice: A Corrigendum and Addendum

• Main Authors: PHILLIPS, Peter C. B., JIN, Sainan, HU, Ling
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Brownian motion; Brownian local time; Discrete choices; Integrated processes; Pile-up problem; Threshold parameters; Econometrics
• 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
• Institution: Singapore Management University

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...