A Generalized Hosmer–Lemeshow Goodness-of-Fit Test for Multinomial Logistic Regression Models

Testing goodness of fit is an important step in evaluating a statistical model. For binary logistic regression models, the Hosmer–Lemeshow goodness-of-fit test is often used. For multinomial logistic regression models, however, few tests are available. We present the mlogitgof command, which implements a goodness-of-fit test for multinomial logistic regression models. This test can also be used for binary logistic regression models, where it gives results identical to the Hosmer–Lemeshow test.