IDEAS home Printed from https://ideas.repec.org/a/bla/jecrev/v60y2009i3p345-361.html
   My bibliography  Save this article

Testing The Sequential Logit Model Against The Nested Logit Model

Author

Listed:
  • DAISUKE NAGAKURA
  • MASAHITO KOBAYASHI

Abstract

In this paper, we show that the sequential logit (SL) model, in which a choice process is characterized as a sequence of independent multinomial logit models, is a limiting case of the nested logit (NL) model. For testing the SL model against the NL model, we propose Wald, likelihood ratio and Lagrange multiplier tests after suitably reparameterizing the NL model. It is found that when the NL model parameters are “weakly identified”, the Wald test severely underrejects the true model, whereas the sizes of the LR and LM tests are not significantly affected.

Suggested Citation

  • Daisuke Nagakura & Masahito Kobayashi, 2009. "Testing The Sequential Logit Model Against The Nested Logit Model," The Japanese Economic Review, Japanese Economic Association, vol. 60(3), pages 345-361, September.
  • Handle: RePEc:bla:jecrev:v:60:y:2009:i:3:p:345-361
    DOI: 10.1111/j.1468-5876.2008.00458.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1468-5876.2008.00458.x
    Download Restriction: no

    File URL: https://libkey.io/10.1111/j.1468-5876.2008.00458.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Sarmistha Pal, 2004. "Child schooling in Peru: Evidence from a sequential analysis of school progression," Journal of Population Economics, Springer;European Society for Population Economics, vol. 17(4), pages 657-680, December.
    2. Lee, Myoung-Jae, 1995. "Semi-parametric Estimation of Simultaneous Equations with Limited Dependent Variables: A Case Study of Female Labour Supply," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 187-200, April-Jun.
    3. Lee A. Lillard & Robert J. Willis, 1994. "Intergenerational Educational Mobility: Effects of Family and State in Malaysia," Journal of Human Resources, University of Wisconsin Press, vol. 29(4), pages 1126-1166.
    4. repec:dau:papers:123456789/13785 is not listed on IDEAS
    5. Nelson, Charles R. & Startz, Richard, 2007. "The zero-information-limit condition and spurious inference in weakly identified models," Journal of Econometrics, Elsevier, vol. 138(1), pages 47-62, May.
    6. Kahn, Lawrence M & Morimune, Kimio, 1979. "Unions and Employment Stability: A Sequential Logit Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 217-235, February.
    7. Hausman, Jerry & McFadden, Daniel, 1984. "Specification Tests for the Multinomial Logit Model," Econometrica, Econometric Society, vol. 52(5), pages 1219-1240, September.
    8. Patrick Waelbroeck, 2005. "Computational Issues in the Sequential Probit Model: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 26(2), pages 141-161, October.
    9. Monjon, Stephanie & Waelbroeck, Patrick, 2003. "Assessing spillovers from universities to firms: evidence from French firm-level data," International Journal of Industrial Organization, Elsevier, vol. 21(9), pages 1255-1270, November.
    10. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marini, Annalisa, 2016. "Immigrants, Trust and Social Traps," MPRA Paper 69627, University Library of Munich, Germany, revised Feb 2016.
    2. Joan Martín-Montaner & Guadalupe Serrano-Domingo & Francisco Requena-Silvente, 2018. "Networks and self-employed migrants," Small Business Economics, Springer, vol. 51(3), pages 735-755, October.
    3. Vanaja, Shiuli, 2021. "Are People Making Correct Choices? Drivers of Water Source Choices in Rural Jharkhand, India," 2021 Conference, August 17-31, 2021, Virtual 315156, International Association of Agricultural Economists.
    4. Shen, Jiayun & Murray-Tuite, Pamela & Wernstedt, Kris & Guikema, Seth, 2024. "Estimating pre-impact and post-impact evacuation behaviors – An empirical study of hurricane Ida in coastal Louisiana and Mississippi," Journal of Transport Geography, Elsevier, vol. 118(C).
    5. Jaume Garcia & Catalina Juaneda & Josep María Raya & Francesc Sastre, 2015. "A Study of Traveller Decision-Making Determinants: Prioritizing Destination or Travel Mode?," Tourism Economics, , vol. 21(6), pages 1149-1167, December.
    6. Wong, R.C.P. & Szeto, W.Y. & Wong, S.C., 2014. "Bi-level decisions of vacant taxi drivers traveling towards taxi stands in customer-search: Modeling methodology and policy implications," Transport Policy, Elsevier, vol. 33(C), pages 73-81.
    7. Gabrielle Wills, 2015. "A profile of the labour market for school principals in South Africa: Evidence to inform policy," Working Papers 12/2015, Stellenbosch University, Department of Economics.
    8. Weitzel, Utz & Kling, Gerhard, 2012. "Sold below value? Why some targets accept very low and even negative takeover premiums," MPRA Paper 42832, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Abdul Malik Iddrisu & Michael Danquah & Peter Quartey, 2017. "Analysis of School Enrollment in Ghana: A Sequential Approach," Review of Development Economics, Wiley Blackwell, vol. 21(4), pages 1158-1177, November.
    2. Jun Ma & Charles R. Nelson, 2008. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Working Papers UWEC-2008-06-R, University of Washington, Department of Economics, revised Sep 2008.
    3. Max Soloschenko & Enzo Weber, 2021. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 109-128, November.
    4. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(2), pages 287-333, April.
    6. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
    7. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
    8. Luciana Méndez-Errico & Xavier Ramos, 2022. "Selection and educational attainment: why some children are left behind? Evidence from a middle-income country," Education Economics, Taylor & Francis Journals, vol. 30(6), pages 624-643, November.
    9. Juan Urquiza & Christian J. Murray, 2017. "Do Estimated Taylor Rules Suffer from Weak Identification?," Documentos de Trabajo 494, Instituto de Economia. Pontificia Universidad Católica de Chile..
    10. Denice Cavero & Verónica Montalva & José Rodríguez, 2011. "Determinantes socioeconómicos de las transiciones entre niveles educativos: un enfoque sobre género y ruralidad en el Perú," Documentos de Trabajo / Working Papers 2011-309, Departamento de Economía - Pontificia Universidad Católica del Perú.
    11. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
    12. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
    13. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    14. Sato, Hiroshi & Li, Shi, 2007. "Class Origin, Family Culture, and Intergenerational Correlation of Education in Rural China," IZA Discussion Papers 2642, Institute of Labor Economics (IZA).
    15. Hans J. Baumgartner & Viktor Steiner, 2004. "Enrolment into Higher Education and Changes in Repayment Obligations of Student Aid – Microeconometric Evidence for Germany," HEW 0410003, University Library of Munich, Germany.
    16. Canessa, Carolin & Venus, Terese E. & Wiesmeier, Miriam & Mennig, Philipp & Sauer, Johannes, 2023. "Incentives, Rewards or Both in Payments for Ecosystem Services: Drawing a Link Between Farmers' Preferences and Biodiversity Levels," Ecological Economics, Elsevier, vol. 213(C).
    17. Josep Marti, 2020. "Location decisions of heterogeneous European firms," Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 265-269.
    18. Philippe Jehiel & Aviman Satpathy, 2024. "Learning to be Indifferent in Complex Decisions: A Coarse Payoff-Assessment Model," Papers 2412.09321, arXiv.org, revised Dec 2024.
    19. Paul K. Huth & Todd L. Allee, 2002. "Domestic Political Accountability and the Escalation and Settlement of International Disputes," Journal of Conflict Resolution, Peace Science Society (International), vol. 46(6), pages 754-790, December.
    20. Wong, R.C.P. & Szeto, W.Y. & Wong, S.C., 2014. "Bi-level decisions of vacant taxi drivers traveling towards taxi stands in customer-search: Modeling methodology and policy implications," Transport Policy, Elsevier, vol. 33(C), pages 73-81.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jecrev:v:60:y:2009:i:3:p:345-361. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/jeaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.