Significance Test in Nonstationary Multinomial Logit Model with Seriality Correlated Dependent Variable

by Chu,C.S*., Nan Liu, Lina Zhang

ARTICLE | Economics Letters | Vol.159,2017

Abstract

We derive the asymptotic distribution of the overall significance/LM test in logit panel models with nonstationary covariates when the binary dependent variable is serially correlated. The asymptotic distribution of LM statistic is shown proportional to Chi-square distribution. Spurious logit link could ariseifonefailstotakeintoaccounttheserialcorrelation.