Significance Test in Nonstationary Multinomial Logit Model with Seriality Correlated Dependent Variable-Peking University HSBC Business School(PHBS)

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

2017-12-31 16:08:00

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.

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