Nonstationary Binary Choice

By Joon Y. Park, Peter C. B. Phillips. 2000

140 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9fcefed0bc31cd5c2e76860c84fb4c1fbf4421a3

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Citations in the corpus

Estimation for single-index and partially linear single-index integrated models (2016, methodology): “Meanwhile, (c), (d) and (e) are extensively used in related papers such as Park and Phillips (2000), Wang and Phillips (2009a, 2009b, 2012), Gao et al. (2009a, 2009b), Gao, Tjøstheim and Yin (2012), among others.”
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity (2010, unknown): “Similar conditions are employed in deriving the results of Park and Phillips (1999, 2000, 2001) and Chang, Park, and Phillips (2001).”
Nonparametric Predictive Regression (2015, unknown): “Assumption 2.2 (or versions thereof) is standard in the nonstationary time series literature (e.g. Park and Phillips, 1999; Park and Phillips, 2000; Park and Phillips, 2001; Berkes and Horváth, 2006; Wang and Phillips, 2009a).”
The credit-to-GDP gap and countercyclical capital buffers: questions and answers (2014, background): “7 Park and Phillips (2000) offer a discussion of how series persistence can lead to misleading inference in binary choice models.”
DYNAMIC TIME SERIES BINARY CHOICE (2011, background): “Park and Phillips (2000) assume that one of the regressors in a binary choice model is integrated, and they assume that all regressors are exogenous, thereby excluding predetermined variables and lagged yn as possible regressors.”
Evaluating early warning indicators of banking crises: Satisfying policy requirements (2014, background): “The high levels of persistency can be problematic for standard regression-based models of binary choice, for which a statistical theory is generally unavailable (Park and Phillips (2000)).”
Index models with integrated time series (2003, unknown): “See Park and Phillips (2000) for details.”
A New Approach to Measuring Financial Contagion (2000, unknown): “Park and Phillips (2000) demonstrate the complications in the limiting distributions for binary choice models with explanatory variables generated as integrated processes.”
Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices (2004, background): “The reader will note that in all the estimations below, the arguments of h(.) are always such I(0) transformations, thus avoiding some of the econometric issues raised by Park and Phillips (2000).”