Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171845 
Autor:innen: 
Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2015 [Pages:] 667-697
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
specification test
multinomial choice models
parametric bootstrap
nonparametric methods
JEL: 
C12
C25
C15
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
1.24 MB





Publikationen in EconStor sind urheberrechtlich geschützt.