A Diagnostic Test for the Multinomial Logit Model
Year: 1987
Type: article
Abstract: 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.
Author: Y. K. Tse
Institution: National University of Singapore
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2065603768