Powered by OpenAIRE graph
Found an issue? Give us feedback
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ Econometricaarrow_drop_down
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
Econometrica
Article
License: CC BY NC
Data sources: UnpayWall
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
zbMATH Open
Article
Data sources: zbMATH Open
Econometrica
Article . 1984 . Peer-reviewed
Data sources: Crossref
versions View all 3 versions
addClaim

This Research product is the result of merged Research products in OpenAIRE.

You have already added 0 works in your ORCID record related to the merged Research product.

Specification Tests for the Multinomial Logit Model

Specification tests for the multinomial logit model
Authors: Hausman, Jerry; McFadden, Daniel;

Specification Tests for the Multinomial Logit Model

Abstract

In the paper we provide two sets of computationally convenient specification tests for the multinomial logit model. The first test is an application of the \textit{J. Hausman} [ibid. 46, 1251-1271 (1978; Zbl 0397.62043)] specification test procedure. The basic idea for the test here is to test the reverse implication of the independence from irrelevant alternatives property. The test statistic is easy to compute since it only requires computation of a quadratic form which involves the difference of the parameter estimates and the differences of the estimated covariance matrices. The second set of specification tests that we propose is based on more classical test procedures. We consider a generalization of the multinomial logit model which is called the nested logit model. Since the multinomial logit model is a special case of the more general model when a given parameter equals one, classical test procedures such as the Wald, likelihood ratio, and Lagrange multiplier tests can be used. The two sets of specification test procedures are then compared for an example where exact and approximate comparisons are possible.

Keywords

Wald, Lagrange multiplier tests, likelihood ratio, nested logit model, specification test procedure, Applications of statistics to economics, multinomial logit model

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    2K
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 0.1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    Top 0.1%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Top 10%
Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
2K
Top 0.1%
Top 0.1%
Top 10%
hybrid