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A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models

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  • Masamune Iwasawa

    (Graduate School of Economics, Kyoto University, Yoshida Honmachi, Sakyo-ku, Kyoto 606-8501, Japan
    Japan Society for the Promotion of Science, Kojimachi Business Center Building, 5-3-1 Kojimachi, Chiyoda-ku, Tokyo 102-0083, Japan)

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.

Suggested Citation

  • Masamune Iwasawa, 2015. "A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models," Econometrics, MDPI, vol. 3(3), pages 1-31, September.
    • Handle: RePEc:gam:jecnmx:v:3:y:2015:i:3:p:667-697:d:55867
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    More about this item

    Keywords

    specification test; multinomial choice models; parametric bootstrap; nonparametric methods;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C - Mathematical and Quantitative Methods
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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