Article ID Journal Published Year Pages File Type
5062103 Economics Letters 2008 9 Pages PDF
Abstract

This paper proposes a new specification test for discrete choice models based on nonparametric estimation of the likelihood ratio. The test is robust against any possible misspecification. A bootstrap procedure is proposed to obtain critical values in small samples. Monte Carlo simulations show that the proposed test can have much higher power than some of the well known parametric tests.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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