Restriction Testing in Binary Choice Model with I(1) Regressors

Wojciech Grabowski

Central European Journal of Economic Modelling and Econometrics, 2009, vol. 1, issue 4, 301-309

Abstract: This paper deals with the problem of nonstationarity of regressors in binary choice model. The limit distribution of the ML-estimator is mixed normal, but restriction testing shall not be based on standard t-statistic. The results of the conducted Monte Carlo experiment demonstrate that the true size of the restriction test is far from the significance level. Therefore, the t -Student statistic should be modified and this paper proposes its modification. The results of the Monte Carlo investigation point to the superiority of the new statistic.

Keywords: nonstationarity; maximum likelihood; restriction testing (search for similar items in EconPapers)
JEL-codes: C12 C25 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:1:y:2009:i:4:p:301-309

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