We obtain simple and intuitive expressions for the information matrix test for the multinomial logit model that resemble a multivariate heteroskedasticity test à la White (1980) applied to the conditionally demeaned value of the outer product of the generalised residuals.
Information matrix tests for multinomial logit models / Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - STAMPA. - 247:(2025), pp. 112180.1-112180.5. [10.1016/j.econlet.2025.112180]
Information matrix tests for multinomial logit models
Fiorentini, Gabriele;
2025
Abstract
We obtain simple and intuitive expressions for the information matrix test for the multinomial logit model that resemble a multivariate heteroskedasticity test à la White (1980) applied to the conditionally demeaned value of the outer product of the generalised residuals.
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