Dynamic time series binary choice
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Publication:5199495
DOI10.1017/S0266466610000472zbMATH Open1219.62135MaRDI QIDQ5199495FDOQ5199495
Authors: Robert de Jong, Tiemen Woutersen 
Publication date: 16 August 2011
Published in: Econometric Theory (Search for Journal in Brave)
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Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
- Maximum score estimation of the stochastic utility model of choice
- Stochastic Limit Theory
- Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Dependent central limit theorems and invariance principles
- Probit with Dependent Observations
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Cube root asymptotics
- Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model
- On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
- A Smoothed Maximum Score Estimator for the Binary Response Model
- Nonparametric and Districtuion-Free Estimation of the Binary Threshold Crossing and The Binary Choice Models
- An Efficient Method of Moments Estimator for Discrete Choice Models With Choice-Based Sampling
- Robust methods and asymptotic theory in nonlinear econometrics
- Weighted sums of certain dependent random variables
- Nonstationary discrete choice
- Nonstationary Binary Choice
- Introduction to the Mathematical and Satistical Foundations of Econometrics
- Maximum score estimation of a nonstationary binary choice model
Cited In (31)
- Structural changes in autoregressive models for binary time series
- Bias reduction for dynamic nonlinear panel models with fixed effects
- Mixing properties of the dynamic Tobit model with mixing errors
- Iterations of dependent random maps and exogeneity in nonlinear dynamics
- On binary and categorical time series models with feedback
- Title not available (Why is that?)
- Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects
- Increasing the power of specification tests
- Similarity-based model for ordered categorical data
- A conditionally heteroskedastic binary choice model for macro-financial time series
- Local M-estimation with discontinuous criterion for dependent and limited observations
- Kernel estimation of hazard functions when observations have dependent and common covariates
- Strong mixing properties of discrete-valued time series with exogenous covariates
- A smoothed least squares estimator for threshold regression models
- Probabilistic forecasting of wind power ramp events using autoregressive logit models
- A Bernoulli autoregressive moving average model applied to rainfall occurrence
- Dynamic multinomial ordered choice with an application to the estimation of monetary policy rules
- A consistent bootstrap procedure for the maximum score estimator
- Risk minimization for time series binary choice with variable selection
- Stationarity and ergodic properties for some observation-driven models in random environments
- A new approach to risk-return trade-off dynamics via decomposition
- Unfolded GARCH models
- Nonparametric estimation of dynamic discrete choice models for time series data
- Coupling and perturbation techniques for categorical time series
- On categorical time series models with covariates
- Binary quantile regression with local polynomial smoothing
- The role of score and information bias in panel data likelihoods
- Maximum likelihood estimates for positive valued dynamic score models; the DySco package
- A note on binary choice duration models
- A weak law for moments of pairwise stable networks
- Identification of discrete choice dynamic programming models with nonparametric distribution of unobservables
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