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Information matrix tests for multinomial logit models

Author

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  • Amengual, Dante
  • Fiorentini, Gabriele
  • Sentana, Enrique

Abstract

We obtain simple and intuitive expressions for the information matrix test for the multinomial logit model that resemble a multivariate heteroskedasticity test à la White (1980) applied to the conditionally demeaned value of the outer product of the generalised residuals.

Suggested Citation

  • Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2025. "Information matrix tests for multinomial logit models," Economics Letters, Elsevier, vol. 247(C).
    • Handle: RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000175
    DOI: 10.1016/j.econlet.2025.112180
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    References listed on IDEAS

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    1. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    2. Lancaster, Tony, 1984. "The Covariance Matrix of the Information Matrix Test," Econometrica, Econometric Society, vol. 52(4), pages 1051-1053, July.
    3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.
    4. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
    5. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
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    7. Mai, Tien & Frejinger, Emma & Bastin, Fabian, 2015. "A misspecification test for logit based route choice models," Economics of Transportation, Elsevier, vol. 4(4), pages 215-226.
    8. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-1070, September.
    9. Chesher, Andrew, 1983. "The information matrix test : Simplified calculation via a score test interpretation," Economics Letters, Elsevier, vol. 13(1), pages 45-48.
    10. Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
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    More about this item

    Keywords

    Hessian matrix; Outer product of the score; Specification test; Unobserved heterogeneity;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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