Testing for joint significance in nonstationary binary choice model

Guangyu Mao

Economics Letters, 2014, vol. 122, issue 2, 311-313

Abstract: This paper investigates the test of joint significance for binary choice model with multiple integrated explanatory variables. It is found that for the widely used logit and probit models, even though the estimators have a different convergence rate under null hypothesis compared with the case under alternative, the commonly used Wald statistic is still useful, and asymptotically chi-squared.

Keywords: Binary choice model; Nonstationarity; Significance test (search for similar items in EconPapers)
JEL-codes: C12 C25 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:122:y:2014:i:2:p:311-313

DOI: 10.1016/j.econlet.2013.12.012

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