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econometrics3030667.pdf | 1.24 MB | Adobe PDF | 見る/開く |
タイトル: | A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models |
著者: | Iwasawa, Masamune |
著者名の別形: | 岩澤, 政宗 |
キーワード: | specification test multinomial choice models parametric bootstrap nonparametric methods |
発行日: | 16-Sep-2015 |
出版者: | MDPI AG |
誌名: | Econometrics |
巻: | 3 |
号: | 3 |
開始ページ: | 667 |
終了ページ: | 697 |
抄録: | 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. |
著作権等: | © 2015 by the author; licensee MDPI, Basel, Switzerland. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0). |
URI: | http://hdl.handle.net/2433/232688 |
DOI(出版社版): | 10.3390/econometrics3030667 |
出現コレクション: | 学術雑誌掲載論文等 |
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