A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models

Masamune Iwasawa

Econometrics, 2015, vol. 3, issue 3, 1-31

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 a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test statistic is 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.

Keywords: specification test; multinomial choice models; parametric bootstrap; nonparametric methods (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2015
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Related works:
Working Paper: JOINT SPECIFICATION TESTS FOR RESPONSE PROBABILITIES IN UNORDERED MULTINOMIAL CHOICE MODELS (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:3:y:2015:i:3:p:667-697:d:55867

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