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

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...

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Main Author: JIN, Sainan
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Language:English
Published: Institutional Knowledge at Singapore Management University 2009
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Online Access:https://ink.library.smu.edu.sg/soe_research/1950
https://ink.library.smu.edu.sg/context/soe_research/article/2949/viewcontent/DiscreteChoiceModelingNonStationaryPanels_2009.pdf
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spelling sg-smu-ink.soe_research-29492017-04-10T06:19:00Z Discrete choice modeling with nonstationary panels applied to exchange rate regime choice JIN, Sainan 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 [Wooldridge, J.M., 1994. Estimation and Inference for Dependent Processes. In: Engle, R.F., McFadden, D.L. (Eds.). Handbook of Econometrics, vol. 4, North-Holland, Amsterdam] on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models. It is shown that the maximum likelihood (ML) estimator is consistent without an incidental parameters problem and has a limit theory with a fast rate of convergence N T (in the stationary case, the rate is N T) for the regression coefficients and thresholds, and a normal limit distribution. In contrast, the limit distribution is known to be mixed normal in time series modeling, as shown in [Park, J.Y., Phillips, P.C.B., 2000, Nonstationary binary choice. Econometrica, 68, 1249-1280] (hereafter PP), and [Phillips, P.C.B., Jin, S., Hu, L., 2007. Nonstationary discrete choice: A corrigendum and addendum. Journal of Econometrics 141(2), 1115-1130] (hereafter, PJH). The approach is applied to exchange rate regime choice by monetary authorities, and we provide an analysis of the empirical phenomenon known as "fear of floating". 2009-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1950 info:doi/10.1016/j.jeconom.2008.12.009 https://ink.library.smu.edu.sg/context/soe_research/article/2949/viewcontent/DiscreteChoiceModelingNonStationaryPanels_2009.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Brownian local time Discrete choice model Exchange rate regime Fear of floating Fixed effects Joint limits Econometrics Finance
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Brownian local time
Discrete choice model
Exchange rate regime
Fear of floating
Fixed effects
Joint limits
Econometrics
Finance
spellingShingle Brownian local time
Discrete choice model
Exchange rate regime
Fear of floating
Fixed effects
Joint limits
Econometrics
Finance
JIN, Sainan
Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
description 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 [Wooldridge, J.M., 1994. Estimation and Inference for Dependent Processes. In: Engle, R.F., McFadden, D.L. (Eds.). Handbook of Econometrics, vol. 4, North-Holland, Amsterdam] on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models. It is shown that the maximum likelihood (ML) estimator is consistent without an incidental parameters problem and has a limit theory with a fast rate of convergence N T (in the stationary case, the rate is N T) for the regression coefficients and thresholds, and a normal limit distribution. In contrast, the limit distribution is known to be mixed normal in time series modeling, as shown in [Park, J.Y., Phillips, P.C.B., 2000, Nonstationary binary choice. Econometrica, 68, 1249-1280] (hereafter PP), and [Phillips, P.C.B., Jin, S., Hu, L., 2007. Nonstationary discrete choice: A corrigendum and addendum. Journal of Econometrics 141(2), 1115-1130] (hereafter, PJH). The approach is applied to exchange rate regime choice by monetary authorities, and we provide an analysis of the empirical phenomenon known as "fear of floating".
format text
author JIN, Sainan
author_facet JIN, Sainan
author_sort JIN, Sainan
title Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
title_short Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
title_full Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
title_fullStr Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
title_full_unstemmed Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
title_sort discrete choice modeling with nonstationary panels applied to exchange rate regime choice
publisher Institutional Knowledge at Singapore Management University
publishDate 2009
url https://ink.library.smu.edu.sg/soe_research/1950
https://ink.library.smu.edu.sg/context/soe_research/article/2949/viewcontent/DiscreteChoiceModelingNonStationaryPanels_2009.pdf
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