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A goodness‐of‐fit test in the multinomial legit model based on weighted squared residuals
Author(s) -
Windmeijer F.A.G.
Publication year - 1994
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.1994.tb01449.x
Subject(s) - mathematics , goodness of fit , multinomial distribution , statistics , asymptotic distribution , chi square test , normality , normality test , mean squared error , multinomial logistic regression , econometrics , statistical hypothesis testing , estimator
The asymptotic (normal) distribution of the sum of weighted squared residuals in the multinomial logit model is derived. The performance of a chi‐squared test based on the asymptotic normality is discussed using some empirical examples.