Nawata, Kazumitsu; McAleer, Michael - In: Econometric Reviews 20 (2001) 1, pp. 105-112
The t-test of an individual coefficient is used widely in models of qualitative choice. However, it is well known that the t-test can yield misleading results when the sample size is small. This paper provides some experimental evidence on the finite sample properties of the t-test in models...