Testing for joint significance in nonstationary ordered choice model

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.

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Year of publication:	2015
Authors:	Xu, Peng
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 130.2015, C, p. 5-8
Publisher:	Elsevier
Subject:	Ordered choice model \| Nonstationarity \| Significance test

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C25 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263420