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Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin
Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin
Research Collection School Of Economics
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 …
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear) cointegrating regression equation is consistent with a limiting (mixed) normal distribution irrespective of the endogeneity in the regressor, near integration as well as integration in the regressor, and serial dependence in the regression equation. The present paper shows that some closely related results apply in the case of structural nonparametric regression with independent data when there are continuous …