Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/51633
Authors: 
Vijverberg, Wim P.
Year of Publication: 
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: 
Document Type: 
Working Paper

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