help mlogtest: Help for tests for the multinomial logit model - 2009-10-20

Overview

The command mlogtest computes a variety of tests for the multinomial logit model.
The user selects the tests they want by specifying the appropriate options. For each
independent variable, mlogtest can perform either a LR or Wald test of the
null hypothesis that the coefficients of the variable equal zero across all equations.
mlogtest can also perform Wald or LR tests of whether any pair of outcome
categories can be combined. In addition, mlogtest computes the Hausman and
Small-Hsiao tests of the assumption of the independence of irrelevance alternatives (IIA)
for each possible omitted category.

Syntax

mlogtest [varlist]
[, options]

Tests of variables

varlist Selects variables to test with the wald or lr options.
By default, all variables in the model are tested.

wald Use Wald tests for each variable.

lr Use LR test for each variable.

set(varlist [\ varlist])
Specify a set of variables is to be tested with lrtest or
lr. The slash \ specifies multiple sets of variables.
This option is particularly useful when a categorical variable is
included as a set of dummy variables, allowing that the coefficients for
all of the dummy variables are zero across all equations.

Tests for combining categories

combine Compute Wald tests of whether two outcomes can be
combined.

lrcombine Compute LR tests of whether two outcomes can be
combined.

Tests of IIA

hausman Compute Hausman-McFadden tests using Stata's hausman
command.

detail Detailed results for hausman option are given.

smhsiao Compute Small-Hsiao tests

suest Compute Hausman-McFadden tests using Stata's suest
command.

iia All of the IIA tests should be computed.

base Conduct IIA test omitting the base category of the original
mlogit estimation. This is done by re-estimating the model using the largest
remaining category as the base category. The original estimates are
restored to memory.

Other

all All tests should be performed.

Examples

. mlogit whoclass income dad_educ male black hispanic asian
. * compute all tests
. mlogtest, all

. mlogit whoclass income dad_educ male black hispanic asian singlpar
> stepmommlogit whoclass income dad_educ male black hispanic asian
. * teset groups of dummy variables
. mlogtest, lr set(black hispanic asian \ singlpar stepmom stepdad)

Returned matrices

r(combine): results of Wald tests to combine categories. Rows represent all
contrasts among categories; columns indicates the categories contrasted, the
chisq, df, and p of test.

r(lrcomb): results of LR tests to combine categories. Rows represent all
contrasts among categories; columns indicates the categories contrasted, the
chisq, df, and p of test.

r(hausman): results of Hausman tests of IIA assumption. Each row is one test.
Columns indicate the omitted category of a given test, the chisq, df, and p.

r(smhsiao): results of Small-Hsiao tests of IIA assumption.

r(wald): results of Wald test that all coefficients of an independent variable
equals zero

r(lrtest): results of likelihood-ratio test that all coefficients of an
independent variable equals zero

Acknowledgment

The code used for the Small-Hsiao test is based on a program by Nick Winter.