Discrete choice modeling with nonstationary panels applied to exchange rate regime choice

• المؤلف الرئيسي: JIN, Sainan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2009
• الموضوعات: Brownian local time; Discrete choice model; Exchange rate regime; Fear of floating; Fixed effects; Joint limits; Econometrics; Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1950; https://ink.library.smu.edu.sg/context/soe_research/article/2949/viewcontent/DiscreteChoiceModelingNonStationaryPanels_2009.pdf
• المؤسسة: Singapore Management University

This paper develops a regression limit theory for discrete choice nonstationary panels with large cross section (N) and time series (T) dimensions. Some results emerging from this theory are directly applicable in the wider context of M-estimation. This includes an extension of work by Wooldridge [W...