IIA Hausman test conditional multinomial logit

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cicada3301
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Joined: Tue May 12, 2020 6:00 am

IIA Hausman test conditional multinomial logit

Postby cicada3301 » Sat May 16, 2020 4:55 am

Hi,

For a case I need to solve, I want to find out whether my model has Independence of Irrelevant Alternatives (IIA). I want to do this via a Hausman test of the validity of the IIA property defined as:

H_IIA = ( theta_r - theta_f )'(Variance(theta_r) - Variance(theta_l))^-1(theta_r - theta_f)

where theta_r is ML estimator logit with deleted categories
and theta_f is ML estimator logit normal model

Could anybody help me out how to perform this test in eviews? Would be of great help!

Thanks in advance,
Kind regards

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