Information matrix tests for multinomial logit models

Dante Amengual, Gabriele Fiorentini and Enrique Sentana

Economics Letters, 2025, vol. 247, issue C

Abstract: We obtain simple and intuitive expressions for the information matrix test for the multinomial logit model that resemble a multivariate heteroskedasticity test à la White (1980) applied to the conditionally demeaned value of the outer product of the generalised residuals.

Keywords: Hessian matrix; Outer product of the score; Specification test; Unobserved heterogeneity (search for similar items in EconPapers)
JEL-codes: C25 C35 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000175

DOI: 10.1016/j.econlet.2025.112180

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