Information matrix tests for multinomial logit models

C-Tier

Journal: Economics Letters

Year: 2025

Volume: 247

Issue: C

Authors (3)

Amengual, Dante (not in RePEc) Fiorentini, Gabriele (Università degli Studi di Fire...) Sentana, Enrique (Centro de Estudios Monetarios ...)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We obtain simple and intuitive expressions for the information matrix test for the multinomial logit model that resemble a multivariate heteroskedasticity test à la White (1980) applied to the conditionally demeaned value of the outer product of the generalised residuals.

Information matrix tests for multinomial logit models

Authors (3)

Abstract

Technical Details