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Significance test in nonstationary logit panel model with serially correlated dependent variable

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  • Chu, Chia-Shang J.
  • Liu, Nan
  • Zhang, Lina

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 arise if one fails to take into account the serial correlation.

Suggested Citation

  • Chu, Chia-Shang J. & Liu, Nan & Zhang, Lina, 2017. "Significance test in nonstationary logit panel model with serially correlated dependent variable," Economics Letters, Elsevier, vol. 159(C), pages 37-41.
    • Handle: RePEc:eee:ecolet:v:159:y:2017:i:c:p:37-41
    DOI: 10.1016/j.econlet.2017.07.003
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    References listed on IDEAS

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    1. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
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    6. Jin, Sainan, 2009. "Discrete choice modeling with nonstationary panels applied to exchange rate regime choice," Journal of Econometrics, Elsevier, vol. 150(2), pages 312-321, June.
    7. Chu, Chia-Shang J. & Liu, Nan & Zhang, Lina, 2016. "Significance test in nonstationary multinomial logit model," Economics Letters, Elsevier, vol. 143(C), pages 94-98.
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    More about this item

    Keywords

    Nonstationary panel logit; Serial correlation; Significance test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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