Testing for joint significance in nonstationary ordered choice model

Peng Xu

Economics Letters, 2015, vol. 130, issue C, 5-8

Abstract: This paper studies the test of joint significance for the ordered choice model with multiple explanatory variables following integrated processes. The results show that for the widely used logit and probit models, when the true parameter vector of explanatory variables is zero, the classical Wald statistic is still useful and has a Chi-squared limiting distribution.

Keywords: Ordered choice model; Nonstationarity; Significance test (search for similar items in EconPapers)
JEL-codes: C12 C25 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:130:y:2015:i:c:p:5-8

DOI: 10.1016/j.econlet.2015.02.020

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