Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171845
Authors: 
Iwasawa, Masamune
Year of Publication: 
2015
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Year:] 2015 [Issue:] 3 [Pages:] 667-697
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.
Subjects: 
specification test
multinomial choice models
parametric bootstrap
nonparametric methods
JEL: 
C12
C25
C15
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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