A high-dimensional binary factor model with non-stationary covariates and factors is shown to have dual-rate MLE convergence, with faster rates when the single index is cointegrated.
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High-Dimensional Binary Variates: Maximum Likelihood Estimation with Nonstationary Covariates and Factors
A high-dimensional binary factor model with non-stationary covariates and factors is shown to have dual-rate MLE convergence, with faster rates when the single index is cointegrated.