| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5057560 | Economics Letters | 2017 | 5 Pages |
Abstract
â¢Nonstationary panel logit with serially correlated dependent variable is analyzed.â¢The limit distribution of LM statistic is shown proportional to Chi-square.â¢Significance test ignoring the serial correlation can result in spurious logit link.
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.
Related Topics
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Economics and Econometrics
Authors
Chia-Shang J. Chu, Nan Liu, Lina Zhang,