Sequential and Multinomial Logit : A Nested Model

A nested model is presented which has both the sequential and the multinomial logit model as special cases. This model provides a simple test to investigate the validity of these specifications. Some theoretical properties of the model are discussed. During the analysis a distribution function is derived, which, to the best of our knowledge, has not been used before. This distribution is shown to be a generalization of the type I extreme-value distribution. Monte Carlo experiments and empirical applications of the model are presented