JOINT SPECIFICATION TESTS FOR RESPONSE PROBABILITIES IN UNORDERED MULTINOMIAL CHOICE MODELS

Masamune Iwasawa

No 919, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes two tests that jointly test the specifications of multiple response probabilities in unordered multino- mial choice models. Both test statistics are asymptotically chi-square distributed, consistent against a fixed alternative, and able to detect a local alternative approaching to the null at a rate slower than the parametric rate. We show that rejection regions can be calculated by a simple parametric bootstrap procedure, when the sample size is small. The size and power of the tests are investigated by Monte Carlo experiments.

Pages: 36pages
Date: 2015-03
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.kier.kyoto-u.ac.jp/DP/DP919.pdf (application/pdf)

Related works:
Journal Article: A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kyo:wpaper:919

Access Statistics for this paper

More papers in KIER Working Papers from Kyoto University, Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Makoto Watanabe (watanabe.makoto.2d@kyoto-u.ac.jp).