Open AccessTESTING THE SEQUENTIAL LOGIT MODEL AGAINST THE NESTED LOGIT MODEL *
Author(s) -
NAGAKURA DAISUKE,
KOBAYASHI MASAHITO
Publication year - 2009
Publication title -
the japanese economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.205
H-Index - 28
eISSN - 1468-5876
pISSN - 1352-4739
DOI - 10.1111/j.1468-5876.2008.00458.x
Subject(s) - multinomial logistic regression , nested logit , wald test , mixed logit , econometrics , logistic regression , score test , logit , economics , limiting , mathematics , statistics , lagrange multiplier , multinomial distribution , likelihood ratio test , statistical hypothesis testing , mathematical optimization , engineering , mechanical engineering
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.