A note on specification tests for the multinomial logit model

DOI10.1016/0304-4076(87)90075-3MaRDI QIDQ1108729zbMATH OpenOpenAlexFDO

Authors Hugh Wills

Publication date 1987

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(87)90075-3

zbMATH Keywords

Choice probabilitiesHausman testindependence of irrelevant alternatives propertyLagrange multiplier testlikelihood ratio testlocal asymptotic powerMcFadden's random utility modelmultinomial logitspecification testsWald test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Review text

Choice probabilities generated by \textit{D. McFadden}'s random utility model [Conditional logit analysis of quantitative choice behaviour, in P. Zarembka (ed.), Frontiers in econometrics (1973)] are both multinomial logit and have the independence of irrelevant alternatives property. Various authors have suggested specification tests of this property. This paper identifies the alternative against which these tests are constructed and obtains classical specification tests. It is shown that both the null hypothesis and local asymptotic power of the classical tests is the same as for a proposed Hausman test. Finally, the discussion throws some light on the nature of the IIA property and on the performance of the logit model in applications where one would expect the IIA property to be violated but where the alternative set is fixed.

Recommendations

• Specification Tests for the Multinomial Logit Model
• Multinomial Logit Specification Tests
• Regression-based specification tests for the multinomial logit model
• Specification test on mixed logit models
• Testing of (non-nested) choice models via accuracy of predition: a non-parametric approach.

Cites work

• A Remark on Hausman's Specification Test
• Multinomial Logit Specification Tests
• Specification Tests for the Multinomial Logit Model
• Specification Tests in Econometrics
• Tests of specification in econometrics

Cited in

(12)

• Regression-based specification tests for the multinomial logit model
• Specification test for binary choice models based on index quantiles
• Approximate generalized extreme value models of discrete choice
• Pooling choices or categories in multinomial logit models
• Tests for the consistency of three-level nested logit models with utility maximization
• Testing for discrete choice models
• Specification test on mixed logit models
• Simulated classical tests in multinomial probit models
• Specification Tests for the Multinomial Logit Model
• Multinomial Logit Specification Tests
• On The Overspecification of Multinomial and Nested Logit Models Due to Alternative Specific Constants
• A NOTE ON HOSMER-LEMESHOW TEST IN LOGISTIC MODELS

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