Testing the sequential logit model against the nested logit model

Daisuke Nagakura, Masahito Kobayashi

研究成果: Article査読

9 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)345-361
ページ数17
ジャーナルJapanese Economic Review
60
3
DOI
出版ステータスPublished - 2009
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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