带有随机趋势项的二元选择模型显著性检验研究
Testing for Significance in Binary Choice Model with Stochastic Trend Process
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摘要: 本文主要对非平稳二元选择模型的显著性检验进行研究. 研究结果显示, 当真实参数为零时, t统计量依分布收敛于标准正态分布. 同时联合显著性检验统计量Wald、LM和LR渐近相等且依分布收敛于卡方分布.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.