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| Title: | | Testing for IIA with the Hausman-McFadden test  |
| Authors: | | Vijverberg, Wim P. |
| Issue Date: | | 2011 |
| Series/Report no.: | | Discussion paper series // Forschungsinstitut zur Zukunft der Arbeit 5826 |
| Abstract: | | The Independence of Irrelevant Alternatives assumption inherent in multinomial logit models is most frequently tested with a Hausman-McFadden test. As is confirmed by many findings in the literature, this test sometimes produces negative outcomes, in contradiction of its asymptotic x2 distribution. This problem is caused by the use of an improper variance matrix and may lead to an invalid statistical inference even when the test value is positive. With a correct specification of the variance, the sampling distribution for small samples is indeed close to a x2 distribution. |
| Subjects: | | multinomial logit IIA assumption Hausman-McFadden test |
| JEL: | | C12 C35 |
| Persistent Identifier of the first edition: | | urn:nbn:de:101:1-201107133399 |
| Document Type: | | Working Paper |
| Appears in Collections: | | IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)
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