Nonparametric Discrete Choice Models for Time Series: Theory and Application to Predicting Recessions
نویسندگان
چکیده
In this work we generalize the non-parametric quasi-likelihood method to the context of discrete choice models for time series data and, in particular, when lags of the discrete dependent variable appear among regressors. We derive consistency and asymptotic normality of the estimator for such models for general case and present an application to real data on US recessions.
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