mnlogit: hyptests – R documentation

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hyptests

Hypothesis testing for multinomial logit models

Description

Three hypothesis tests applicable to any MLE (Likelihood ratio test, Wald test, Rao score test) and the Hausman-McFadden test for IIA (independence of irrelevant alternatives) are provided.

Usage

lrtest(object, ...)
waldtest(object, ...)
scoretest(object, ...)
## S3 method for class 'mnlogit'
lrtest(object, ...)
## S3 method for class 'mnlogit'
scoretest(object, ...)
## S3 method for class 'mnlogit'
waldtest(object, ...)

hmftest(x, ...)
## S3 method for class 'formula'
hmftest(x, alt.subset, ...)
## S3 method for class 'mnlogit'
hmftest(x, z, ...)

Arguments

`object`	An fitted model which is an object of class `mnlogit`.
`...`	For `lrtest` and `waldtest` a fitted `mnlogit` object or a `formula` object maybe given. However for `scoretest` ONLY an fitted `mnlogit` is accepted. For `hmftest` either a subset of alternatives or an `mnlogit` object estimated using a subset of alternatives must be given.
`x`	A fitted object of class `mnlogit` or a `formula` object.
`z`	An object of class `mnlogit` or a subset of alternatives for the `hmftest.mnlogit` method. Must be the same model as `x` estimated on a subset of alternatives.
`alt.subset`	A subset of alternatives to do testing on.

Value

An object of class htest, with elements:

`statistic`	The value of the test statistic.
`parameter`	the value of the underlying test distribution's parameter. In this case, the numbe r of degrees of freedom of chi-squared distribution.
`data.name`	The data frame used.
`p.value`	Probability for accepting the null hypothesis.
`method`	The name of the hypothesis test.
`alternative`	Alternative hypothesis.

Author(s)

Asad Hasan, Wang Zhiyu, Alireza S. Mahani

References

Code for the last two tests (Score and IIA test) is gratefully adapted from the CRAN package mlogit, while the first 2 tests are performed by functions in the CRAN package lmtest.

Croissant, Yves. Estimation of multinomial logit models in R: The mlogit Packages.

Achim Zeileis, Torsten Hothorn (2002) Diagnostic Checking in Regression Relationships, R News 2(3), 7-10.

Examples

library(mnlogit)
  data(Fish, package = "mnlogit")

  # Unconstrained model
  fm <- formula(mode ~ price | income | catch)
  fit <- mnlogit(fm, Fish) 
  # Constrained model - intercep dropped
  fm.c <- formula(mode ~ price | income - 1 | catch)
  fit.c <- mnlogit(fm.c, Fish) 

  ## MLE hypothesis tests
  lrtest(fit, fit.c)
  waldtest(fit, fit.c)
  scoretest(fit, fit.c)

  ## IIA test
  alt.subset <- c("beach", "boat", "charter")
  hmftest(fit, alt.subset)

mnlogit

Multinomial Logit Model

v1.2.6

GPL (>= 2)

Authors