scoretest {mlogit} | R Documentation |
Three tests for mlogit models: specific methods for the Wald test and the likelihood ration test and a new function for the score test
scoretest(object, ...) ## S3 method for class 'mlogit' scoretest(object, ...) ## S3 method for class 'mlogit' waldtest(object, ...) ## S3 method for class 'mlogit' lrtest(object, ...)
object |
an object of class |
... |
two kinds of arguments can be used. If |
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.
an object of class "htest"
.
Yves Croissant
library("mlogit") 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)