A Note on Binary Choice Duration Models
نویسندگان
چکیده
In this paper we demonstrate that standard methods of asymptotic inference will break down in a binary choice duration model in a time series setting. This comes about because the dependent variable has a degenerate limit distribution, which makes the asymptotic variance-covariance matrix singular. This result has implications for discrete choice duration panel data models under large N and T asymptotics.
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