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

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

Economics Letters, 2017, vol. 159, issue C, 37-41

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.

Keywords: Nonstationary panel logit; Serial correlation; Significance test (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176517302835
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:159:y:2017:i:c:p:37-41

DOI: 10.1016/j.econlet.2017.07.003

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().