TY  - RPRT
        AU  - Vijverberg, Wim P.
        TI  - Testing for IIA with the Hausman-McFadden Test
        PY  - 2011/Jun/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 5826
        UR  - https://www.iza.org/index.php/publications/dp5826
        AB  - The Independence of Irrelevant Alternatives assumption inherent in multinomial logit models is most frequently tested with a Hausman-McFadden test. As is confirmed by many findings in the literature, this test sometimes produces negative outcomes, in contradiction of its asymptotic χ² distribution. This problem is caused by the use of an improper variance matrix and may lead to an invalid statistical inference even when the test value is positive. With a correct specification of the variance, the sampling distribution for small samples is indeed close to a χ² distribution.
        KW  - multinomial logit
KW  - IIA assumption
KW  - Hausman-McFadden test
        ER  -