TY - JOUR N2 - 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. L1 - http://www.czasopisma.pan.pl/Content/106548/PDF-MASTER/mainFile.pdf L2 - http://www.czasopisma.pan.pl/Content/106548 PY - 2009 IS - No 4 EP - 309 DO - 10.24425/cejeme.2009.122239 KW - nonstationarity KW - maximum likelihood KW - restriction testing A1 - Grabowski, Wojciech PB - Oddział PAN w Łodzi DA - 31.12.2009 T1 - Restriction Testing in Binary Choice Model with I(1) Regressors SP - 301 UR - http://www.czasopisma.pan.pl/dlibra/publication/edition/106548 T2 - Central European Journal of Economic Modelling and Econometrics ER -