Significance test in nonstationary multinomial logit model

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

Economics Letters, 2016, vol. 143, issue C, 94-98

Abstract: 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.

Keywords: Nonstationary multinomial logit; Discrete autoregression; Significance test (search for similar items in EconPapers)
JEL-codes: C11 C12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:143:y:2016:i:c:p:94-98

DOI: 10.1016/j.econlet.2016.03.022

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