Nonstationary Binary Choice

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...

Simultaneous Equation Systems Involving Binary Choice Variables

Misspecification and Heterogeneity in Binary Choice Models

We address function misspecification and model heterogeneity, two critical issues in empirical work. A nonparametric approach is proposed for single-index, binary-choice models when parametric models such as Probit and Logit are potentially misspecified. The new approach involves two steps: first, we estimate index coefficients using sliced inverse regression without knowing the conditional pro...

A Note on Binary Choice Duration Models

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 a...

Nash equilibria for non-binary choice rules

We prove the existence of equilibria in games with players who employ abstract (non-binary) choice rules. This framework goes beyond the standard, transitive model and encompasses games where players have nontransitive preferences (e.g., skew-symmetric bilinear preferences).