TY - JOUR
T1 - Testing the sequential logit model against the nested logit model
AU - Nagakura, Daisuke
AU - Kobayashi, Masahito
N1 - Funding Information:
We would like to thank an associate editor and anonymous referees for many useful comments. The first author thanks Bruce Wang, Chris Fendrich and Migiwa Tanaka for their helpful comments. Earlier versions of the paper were presented at the Pennsylvania Economic Association 2006 Annual Conference, the Canadian Economic Association 40th Annual Meeting, the FCS conference and the Kansai Econometric Society 14th Annual Meeting. We wish to thank the participants for many beneficial discussions. This work was partially supported by Grant-in-Aid for Scientific Research from the Japan Society for the Promotion of Science. Views expressed in this paper are those of the authors and do not necessarily reflect the official views of the Bank of Japan.
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
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U2 - 10.1111/j.1468-5876.2008.00458.x
DO - 10.1111/j.1468-5876.2008.00458.x
M3 - Article
AN - SCOPUS:69149094235
VL - 60
SP - 345
EP - 361
JO - Japanese Economic Review
JF - Japanese Economic Review
SN - 1352-4739
IS - 3
ER -