منابع مشابه
Nonstationary Discrete Choice
This paper develops an asymptotic theory for time series discrete choice models with explanatory variables generated as integrated processes and with multiple choices and threshold parameters determining the choices. The theory extends recent work by Park and Phillips (2000) on binary choice models. As in this earlier work, the maximum likelihood (ML) estimator is consistent and has a limit the...
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We apply a discrete choice approach to model the empirical behavior of the Federal Reserve in changing the federal funds target rate, the benchmark of short term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by ...
متن کاملDynamics of the Federal Funds Target Rate: a Nonstationary Discrete Choice Approach By
We apply a discrete choice approach to model the empirical behavior of the Federal Reserve in changing the federal funds target rate, the benchmark of short term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature is particularly useful in the present application as many economic fundamentals that are monitored by ...
متن کاملDiscrete Choice
Classical consumer theory assumes that products are infinitely divisible and consumers may purchase fractional quantities as dictated by their preferences and budget sets. However,for many goods and services individuals purchase only a few and sometimes at most one. Thus classical models of discrete choice in economics were developed to extend consumer choice theory to model demand of discrete ...
متن کاملDiscrete Wavelet Transfom for Nonstationary Signal Processing
In engineering, digital signal processing techniques need to be carefully selected according to the characteristics of the signals of interest. The frequency-based and time-frequency techniques have been frequently mentioned in some literature (Cohen, 1995). The frequencybased techniques (FBTs) have been widely used for stationary signal analysis. For nonstationary signals, the time-frequency t...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2004
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00208-2