A Diagnostic Test for the Multinomial Logit Model
I propose a Lagrange multiplier test for the multinomial logit model against the dogit model (Gaudry and Dagenais 1979) as the alternative hypothesis. In view of the well-known drawback of the restrictive property of independence from irrelevant alternatives implied by the multinomial logit model, a...
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1987
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sg-smu-ink.soe_research-13482010-09-23T05:48:03Z A Diagnostic Test for the Multinomial Logit Model TSE, Yiu Kuen I propose a Lagrange multiplier test for the multinomial logit model against the dogit model (Gaudry and Dagenais 1979) as the alternative hypothesis. In view of the well-known drawback of the restrictive property of independence from irrelevant alternatives implied by the multinomial logit model, a specification test has much to recommend it. Finite sample properties of the test are studied using a Monte Carlo experiment, and the test's power against the nested multinomial logit model and the multinomial probit model is investigated. The test is found to be sensitive to the values of the regression parameters of the linear random utility function. 1987-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/349 info:doi/10.2307/1391909 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
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Economics TSE, Yiu Kuen A Diagnostic Test for the Multinomial Logit Model |
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I propose a Lagrange multiplier test for the multinomial logit model against the dogit model (Gaudry and Dagenais 1979) as the alternative hypothesis. In view of the well-known drawback of the restrictive property of independence from irrelevant alternatives implied by the multinomial logit model, a specification test has much to recommend it. Finite sample properties of the test are studied using a Monte Carlo experiment, and the test's power against the nested multinomial logit model and the multinomial probit model is investigated. The test is found to be sensitive to the values of the regression parameters of the linear random utility function. |
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text |
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TSE, Yiu Kuen |
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TSE, Yiu Kuen |
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TSE, Yiu Kuen |
| title |
A Diagnostic Test for the Multinomial Logit Model |
| title_short |
A Diagnostic Test for the Multinomial Logit Model |
| title_full |
A Diagnostic Test for the Multinomial Logit Model |
| title_fullStr |
A Diagnostic Test for the Multinomial Logit Model |
| title_full_unstemmed |
A Diagnostic Test for the Multinomial Logit Model |
| title_sort |
diagnostic test for the multinomial logit model |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1987 |
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https://ink.library.smu.edu.sg/soe_research/349 |
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