Significance test in nonstationary multinomial logit model

被引：1
|
作者：
Chu, Chia-Shang J. [1 ,2 ]
Liu, Nan [3 ]
Zhang, Lina [3 ]
机构：
[1] Peking Univ, HSBC, Beijing 100871, Peoples R China
[2] Southwest Univ Finance & Econ, Res Inst Econ & Management, Chengdu, Peoples R China
[3] Peking Univ, Natl Sch Dev, Beijing 100871, Peoples R China
来源：
ECONOMICS LETTERS | 2016年 / 143卷
关键词：
Nonstationary multinomial logit; Discrete autoregression; Significance test; DISCRETE-CHOICE; BINARY CHOICE;
D O I：
10.1016/j.econlet.2016.03.022
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2016 Published by Elsevier B.V.
引用
收藏
页码：94 / 98
页数：5
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