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Significance test in nonstationary multinomial logit model

by Chia-Shang J. Chu*, Nan Liu, Lina Zhang

ARTICLE | Economics Letters | Vol. 143, 2016


We derive the asymptotic distribution of the overall significance/LM test in a multinomial logit model with nonstationary covariates when the qualitative response is serially correlated and show that conventional significance tests can result in spurious logit link due to its wrong test size.
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