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| Testing for Significance in Binary Choice Model with Stochastic Trend Process |
| XU Peng, WANG Lujun, YAN Zichun |
School of Economics, Nankai University; School of Public Finance and Taxation, Nanjing University
of Finance and Economics; Economics and Management College, Civil Aviation University of
China. |
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Abstract This paper investigates the test of significance for the binary
choice model with stochastic trend process. The results show that when the true parameter
vector is zero, the limiting distribution of the t statistic follows standard normal
distribution. The joint significance test statistics Wald, LM and LR are asymptotically
equivalent and have a Chi-square limiting distribution.
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Corresponding Authors:
XU Peng
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