A joint specification test for response probabilities in unordered multinomial choice models

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 667-697 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities ; Statistical Simulation Methods: General
• Thema: specification test ; multinomial choice models ; parametric bootstrap ; nonparametric methods

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Iwasawa, Masamune
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2015

Weitere Informationen

• DOI: doi:10.3390/econometrics3030667
• Handle: http://hdl.handle.net/10419/171845
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ