I have a multi-class classification problem. I am primarily using macro-average F1 measure to evaluate the performance of models and want to verify if the results are statistically significant. I have the results of two classifiers on the same train/test-set (paired observations).
Some sources suggest to use McNemar’s test for binary classification task. However, is there any generalization of McNemar’s test for multi-class classification problem? If so, what would be the appropriate procedure to carry out these tests?