An Application of Cox's Non-Nested Test to trinomial Logit and Probit Models

The Cox statistic for non nested models is used to test the probit and logit specifications estimated by Bardasi and Monfardini (1997) for the occupational choice of the Italian workers among the private, the public and the self-employed options. Computation of different versions of test is performed, some of which rely on simulation of the pseudo-true value. The bootstrap technique is then applied to control for the actual properties of the test. The results of the testing procedure indicate the probit as the more adequate model, supporting previous evidence found against the IIA assumption imposed by the logit formulation.