XU Peng, WANG Lujun, YAN Zichun. Testing for Significance in Binary Choice Model with Stochastic Trend Process[J]. Chinese Journal of Applied Probability and Statistics, 2016, 32(3): 301-312.
Citation: XU Peng, WANG Lujun, YAN Zichun. Testing for Significance in Binary Choice Model with Stochastic Trend Process[J]. Chinese Journal of Applied Probability and Statistics, 2016, 32(3): 301-312.

Testing for Significance in Binary Choice Model with Stochastic Trend Process

  • 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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