Restriction Testing in Binary Choice Model with I(1) Regressors

• Autorzy: Wojciech Grabowski
• Języki publikacji: EN

Abstrakty

EN

This paper deals with the problem of nonstationarity of regressors in binary choice model. The limit distribution of the ML-estimator is mixed normal, but restriction testing shall not be based on standard t-statistic. The results of the conducted Monte Carlo experiment demonstrate that the true size of the restriction test is far from the significance level. Therefore, the t -Student statistic should be modified and this paper proposes its modification. The results of the Monte Carlo investigation point to the superiority of the new statistic. (original abstract)

Słowa kluczowe

EN

Probability; Models of choice; Tests

PL

Prawdopodobieństwo; Modele wyboru; Testy

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2009
• Tom: 1
• Numer: nr 4
• Strony: 301--309

Twórcy

autor

Wojciech Grabowski

• University of Lodz, Poland

Bibliografia

• [1] Grabowski W., (2009), A note on the nonstationary probit model, Unpublished Manuscript, University of Lodz.
• [2] Grabowski W., (2007a), Integrated Time Series in Binary Choice Models, [in:] 33rd International Conference MACROMODELS'06, [ed.:] A.Welfe, W.Welfe, 215-233.
• [3] GrabowskiW., (2007b), Asymptotics for Integrated Time Series in Binary Choice Models, presented at 62-nd Econometric Society European Meeting, Budapest, 27-31 August.
• [4] Guerre E., Moon H.R., (2002), A note on the nonstationary binary choice logit model, Economics Letters 76, 267-271.
• [5] Park J.Y., Phillips P.C.B., (1999), Asymptotics for nonlinear transformations of integrated time series, Econometric Theory 15, 269-298.
• [6] Park J. Y., Phillips P.C.B., (2000), Nonstationary binary choice, Econometrica 68, 1249-1280.
• [7] Park, J.Y. and Phillips P.C.B., (2001), Nonlinear regressions with integrated time series, Econometrica 69, 117-161.
• [8] Revuz, D., Yor M., (1994), Continuous Martingale and Brownian Motion, 2 ed., Springer-Verlag, New York.

Identyfikatory

DOI

10.24425/cejeme.2009.122239