mlogit: scoretest – R documentation

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scoretest

The three tests for mlogit models

Description

Three tests for mlogit models: specific methods for the Wald test and the likelihood ration test and a new function for the score test

Usage

scoretest(object, ...)

## S3 method for class 'mlogit'
scoretest(object, ...)

## Default S3 method:
scoretest(object, ...)

## S3 method for class 'mlogit'
waldtest(object, ...)

## S3 method for class 'mlogit'
lrtest(object, ...)

Arguments

`object`	an object of class `mlogit` or a formula,
`...`	two kinds of arguments can be used. If `mlogit` arguments are introduced, initial model is updated using these arguments. If `formula` or other `mlogit` models are introduced, the standard behavior of `lmtest::waldtest()` and `lmtest::lrtest()` is followed.

Details

The scoretest function and mlogit method for waldtest and lrtest from the lmtest package provides the infrastructure to compute the three tests of hypothesis for mlogit objects.

The first argument must be a mlogit object. If the second one is a fitted model or a formula, the behaviour of the three functions is the one of the default methods of waldtest and lrtest: the two models provided should be nested and the hypothesis tested is that the constrained model is the ‘right’ model.

If no second model is provided and if the model provided is the constrained model, some specific arguments of mlogit should be provided to descibe how the initial model should be updated. If the first model is the unconstrained model, it is tested versus the ‘natural’ constrained model; for example, if the model is a heteroscedastic logit model, the constrained one is the multinomial logit model.

Value

an object of class htest.

Author(s)

Yves Croissant

Examples

library("mlogit")
library("lmtest")
data("TravelMode", package = "AER")
ml <- mlogit(choice ~ wait + travel + vcost, TravelMode,
             shape = "long", chid.var = "individual", alt.var = "mode")
hl <- mlogit(choice ~ wait + travel + vcost, TravelMode,
             shape = "long", chid.var = "individual", alt.var = "mode",
             method = "bfgs", heterosc = TRUE)
lrtest(ml, hl)
waldtest(hl)
scoretest(ml, heterosc = TRUE)

mlogit

Multinomial Logit Models

v1.1-1

GPL (>= 2)

Authors

Yves Croissant [aut, cre]

Initial release

2020-10-01