We correct the limit theory presented in an earlier paper by Hu and Phillips (Journal of Econometrics, 2004) for … nonstationary time series discrete choice models with multiple choices and thresholds. The new limit theory shows that, in contrast …

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 … consistent and has a limit theory with multiple rates of convergence (n^{3/4} and n^{1/4}) and mixture normal distributions where …