Testing the Multinomial Logit Model

摘要

A general test to check the adequateness of a regression model against nonparametric alternatives is presented. This test procedure is then applied to the well known multinomial logit model and its power is considered in a simulation study. Finally, the multinomial logit model is tested for a real scanner panel data set. The mull hypothesis that the multinomial logit model is an adequate model for the real data set is rejected.