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• W2044543737 abstract "Abstract 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 and has a limit theory with a fast rate of convergence N 1 / 2 T 3 / 4 (in the stationary case, the rate is N 1 / 2 T 1 / 2 ) for the regression coefficients and thresholds, and a normal limit distribution. In contrast, the limit distribution is known to be mixed normal in time series modeling, as shown in [Park, J.Y., Phillips, P.C.B., 2000, Nonstationary binary choice. Econometrica, 68, 1249–1280] (hereafter PP), and [Phillips, P.C.B., Jin, S., Hu, L., 2007. Nonstationary discrete choice: A corrigendum and addendum. Journal of Econometrics 141(2), 1115–1130] (hereafter, PJH). The approach is applied to exchange rate regime choice by monetary authorities, and we provide an analysis of the empirical phenomenon known as “fear of floating”." @default.
• W2044543737 created "2016-06-24" @default.
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• W2044543737 date "2009-06-01" @default.
• W2044543737 modified "2023-10-18" @default.
• W2044543737 title "Discrete choice modeling with nonstationary panels applied to exchange rate regime choice" @default.
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• W2044543737 doi "https://doi.org/10.1016/j.jeconom.2008.12.009" @default.
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