A Note on Binary Choice Duration ModelsEconomics Letters (2009)
AbstractWe 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.
Publication DateJanuary, 2009
Citation InformationDeepankar 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/