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Econometrics 2015, 3(3), 667-697; doi:10.3390/econometrics3030667

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

1
Graduate School of Economics, Kyoto University, Yoshida Honmachi, Sakyo-ku, Kyoto 606-8501, Japan
2
Japan Society for the Promotion of Science, Kojimachi Business Center Building, 5-3-1 Kojimachi, Chiyoda-ku, Tokyo 102-0083, Japan 
Academic Editor: Kerry Patterson
Received: 4 June 2015 / Revised: 28 August 2015 / Accepted: 9 September 2015 / Published: 16 September 2015
(This article belongs to the Special Issue Recent Developments of Specification Testing)
View Full-Text   |   Download PDF [1236 KB, uploaded 16 September 2015]   |  

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. View Full-Text
Keywords: specification test; multinomial choice models; parametric bootstrap; nonparametric methods specification test; multinomial choice models; parametric bootstrap; nonparametric methods
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Iwasawa, M. A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models. Econometrics 2015, 3, 667-697.

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