Nonstationary discrete choice: a corrigendum and addendum

DOI10.1016/j.jeconom.2007.01.017zbMath1418.62347OpenAlexW3122132498MaRDI QIDQ289204

Peter C. B. Phillips, Sainan Jin, Ling Hu

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/285

zbMATH Keywords

Brownian motionBrownian local timediscrete choicesintegrated processespile-up problemthreshold parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Local time and additive functionals (60J55)

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Cites Work

• Convergence of functionals of sums of r.v.s to local times of fractional stable motions.
• Nonstationary discrete choice
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonstationary Binary Choice
• Nonlinear Regressions with Integrated Time Series