A note on specification tests for the multinomial logit model
type: Item
instance of: scholarly article
title: A note on specification tests for the multinomial logit model
zbMATH Open document ID: 0654.62092
DOI: 10.1016/0304-4076(87)90075-3
author: Hugh Wills
published in: Journal of Econometrics
publication date: 1987-01-01T00:00:00Z
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.
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 4068133
zbMATH Keywords: likelihood ratio test
zbMATH Keywords: Wald test
zbMATH Keywords: Lagrange multiplier test
zbMATH Keywords: Choice probabilities
zbMATH Keywords: McFadden's random utility model
zbMATH Keywords: multinomial logit
zbMATH Keywords: independence of irrelevant alternatives property
zbMATH Keywords: specification tests
zbMATH Keywords: local asymptotic power
zbMATH Keywords: Hausman test
MaRDI profile type: Publication
full work available at URL: 0304-4076(87)90075-3
OpenAlex ID: W2088403998
cites work: Specification Tests in Econometrics
cites work: Specification Tests for the Multinomial Logit Model
cites work: A Remark on Hausman's Specification Test
cites work: Tests of specification in econometrics
cites work: Multinomial Logit Specification Tests
description: scientific article; zbMATH DE number 4068133