a joint specification test for response probabilities in unordered multinomial choice models

Clicks: 107
ID: 259426
2015
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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.
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iwasawa2015econometricsa Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Masamune Iwasawa
Journal developmental cognitive neuroscience
Year 2015
DOI
10.3390/econometrics3030667
URL
http://www.mdpi.com/2225-1146/3/3/667
Keywords
nonparametric methodseconomics as a science multinomial choice models

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