Testing the sequential logit model against the nested logit model

Daisuke Nagakura, Masahito Kobayashi

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

In this paper, we show that the sequential logit (SL) model, in which a choice process is characterized as a sequence of independent multinomial logit models, is a limiting case of the nested logit (NL) model. For testing the SL model against the NL model, we propose Wald, likelihood ratio and Lagrange multiplier tests after suitably reparameterizing the NL model. It is found that when the NL model parameters are "weakly identified", the Wald test severely underrejects the true model, whereas the sizes of the LR and LM tests are not significantly affected.

Original languageEnglish
Pages (from-to)345-361
Number of pages17
JournalJapanese Economic Review
Volume60
Issue number3
DOIs
Publication statusPublished - 2009
Externally publishedYes

Fingerprint

Nested logit model
Logit model
Testing
Multinomial logit model
LM test
Likelihood ratio
Lagrange multiplier test
Wald test
Choice process

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Testing the sequential logit model against the nested logit model. / Nagakura, Daisuke; Kobayashi, Masahito.

In: Japanese Economic Review, Vol. 60, No. 3, 2009, p. 345-361.

Research output: Contribution to journalArticle

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