A Diagnostic Test for the Multinomial Logit Model
提出一种拉格朗日乘子检验，用于检验多项Logit模型是否应被Dogit模型替代，并通过蒙特卡洛实验研究其有限样本性质及对嵌套多项Logit和多项Probit模型的检验效力。
I propose a Lagrange multiplier test for the multinomial logit model against the dogit model (Gaudry and Dagenais 1979) as the alternative hypothesis. In view of the well-known drawback of the restrictive property of independence from irrelevant alternatives implied by the multinomial logit model, a specification test has much to recommend it. Finite sample properties of the test are studied using a Monte Carlo experiment, and the test's power against the nested multinomial logit model and the multinomial probit model is investigated. The test is found to be sensitive to the values of the regression parameters of the linear random utility function.