Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 30 / 5 / b / ii

The second logistic regression adds ${\gamma }_2{Y}_{i,t-2}$ while retaining the first lag and baseline covariates. The models are nested under $H_0:{\gamma }_2=0$. Their likelihood-ratio test statistic is the reduction in binomial deviance,Under the null and regular large-sample conditions for the correctly specified conditional likelihood, this has an approximate chi-squared distribution with one statistical degree of freedom. Since $9.4>3.841$, reject at 5%; the approximate p-value is $0.0022$. Prefer the two-lag model to the one-lag model. Its additional lag captures statistically useful information in the history.