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Article
A Note on Binary Choice Duration Models
Economics Letters (2009)
  • Deepankar Basu, University of Massachusetts - Amherst
  • Robert de Jong, Ohio State University - Main Campus
Abstract
We demonstrate that standard methods of asymptotic inference break down for a binary choice duration model in a time series setting. This is because the dependent variable has a degenerate limit distribution, which makes the asymptotic variance-covariance matrix singular.
Disciplines
Publication Date
January, 2009
Citation Information
Deepankar Basu and Robert de Jong. "A Note on Binary Choice Duration Models" Economics Letters Vol. 102 Iss. 1 (2009)
Available at: http://works.bepress.com/deepankar_dasu/13/