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As we know, the eldest of the Pandavas is Yudhishthira (IAST : Yudhiṣṭhira and Devanagari: युधिष्ठिर). It is said that he got his name due to his steadiness in war. This is also a famous one. From related Wikipedia article:

The word Yudhishthira means "the one who is steady in the war", from the words, yuddha (युद्ध) meaning 'war', and sthira (स्थिर) meaning 'steady'.

The article doesn't provide any citations for the claim.

He is known for his steadiness in a miserable situation like Yaksha prashna where all of his brothers were lying dead in front of him. Yet he answered all the questions correctly and brought back his brothers back to life.

But there is an incident during the Kurukshetra where Yudhishthira lost his cool head and thought of retiring to woods. This happened after the ninth day war. Yudhishthira says the following to Krishna.

'Behold, O Krishna, the high-souled Bhishma of fierce prowess. He crusheth my troops like an elephant crushing a forest of reeds. ....... When this is the case, O Krishna, I am, through the weakness of my understanding, plunged in an ocean of grief having got Bhishma (as a foe) in battle. I will retire into the woods, O invincible one. My exile there would be for my benefit. Battle, O Krishna, I no longer desire. Bhishma slayeth us always. As an insect, by rushing into a blazing fire meeteth only with death, even so do I rush upon Bhishma. In putting forth prowess, O thou of Vrishni's race, for the sake of my kingdom, I am, alas, led to destruction. My brave brothers have all been exceedingly afflicted with arrows. In consequence of the affection they bear to myself their (eldest) brother they had to go into the woods, deprived of kingdom. For myself alone, O slayer of Madhu, hath Krishna been sunk into such distress. I regard life to be of high value. Indeed, even life now seemeth to be difficult of being saved. (If I can save that life), its latter remnant will I pass in the practice of excellent virtue. [Mahabharata Bhishma Parva Chapter 18]

These are the words of Yudhishthira during the Kurukshetra battle. If the etymology of his name correct, then he should be steady in the war.

The Sambhava Parva of Adi Parva doesn't give the reason he is named such. It simply says that he is named as Yudhishthira.

O king, after all the children were born the Rishis dwelling on the mountain of a hundred peaks uttering blessings on them and affectionately performing the first rites of birth, bestowed appellations on them. The eldest of Kunti's children was called Yudhishthira, the second Bhimasena, and the third Arjuna, and of Madri's sons, the first-born of the twins was called Nakula and the next Sahadeva. And those foremost sons born at an interval of one year after one another, looked like an embodied period of five years.

So, my question is whether the etymology of the name Yudhishthira the same as given in the Wikipedia article or is there any other reason?

Is the etymology of this name mentioned in the Mahabharata like that of Ajata shatru?

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Etymology of Yudhishtira = steady in war, is correct. Here, the war can be any kind of battle or struggle. Throughout the Mahabharata, Yudhishtira was known to behold the Dharma & remaining steadfast in every challenging situations.

The passage you described about Yudhishtira 'wanting' to go in exile - is just part of warring frustrations. That should not be considered as a proof, as it really didn't happen.
There is another example (read last passage in the link), when frustrated with Drona's overwhelming power & Arjuna's inability to stop him, Yudhishthira taunted Arjuna about forfeiting Gandiva bow & hearing that Arjuna wanted to literally kill his elder brother to fulfil a vow!

Such things are usual during any war. Similar exile sentiments were echoed by Arjuna during Bhagavad Gita's discourse as well. Bhima also had shown such passive sentiments against the war itself, even before it had begun. See Bhima's view of Kurukshetra war.

How was he named "Yudhishthira"?

Kunti begot a child by Niyoga with the god of justice (Dharma-rAjA).

And as soon as the child was born, an incorporeal voice (from the skies) said, 'This child shall be the best of men, the foremost of those that are virtuous. Endued with great prowess and truthful in speech, he shall certainly be the ruler of the earth. And this first child of Pandu shall be known by the name of Yudhishthira. Possessed of prowess and honesty of disposition, he shall be a famous king, known throughout the three worlds. [Adi Parva]

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The etymology seems right according to Monier-Williams dictionary.

Yudhi-shṭhira, as, m. (yudhi, loc. c. + sthira), ‘firm or steady in battle,’ N. of the eldest of the five reputed sons of Pāṇḍu, (though nominally the son of Pāṇḍu, he was really the child of Pṛithā or Kuntī, Pāṇḍu's wife, by the god Dharma or Yama, whence he is often called Dharma-putra or Dharma-rāja; as the eldest of the five Pāṇḍavas, he ultimately succeeded Pāṇḍu as king, first reigning over Indra-prastha, and afterwards, when the Kuru princes or sons of Dhṛitarāshṭra were defeated, at Hāstina-pura);

The Macdonell dictionary also derives the meaning the same way.

12) युधिष्ठिर (p. 131)

yudhi-shthira (steadfast in battle), N. of the eldest son of Pându and Kuntî (begotten by the god Dharma), and leader of the Pândavas in their war with the Kurus;

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I agree with others as Yudh + stira = Yudhishthira ( Aa + sta/ta = ie )

Yudh = war, Stir = steadiness, meaning one who is steady in the war which is an essential quality of warriors. Just like how we expect batsmen to be steady and won runs in cricket. But actually Yudhistir is an adjective given to the first son of Pandava. As he is the main one to decisions that make family won or lose in life war. His intelligence like an Astra must lead the family and its honor.

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As far I have read the Mahabharata, I felt that Yudhishthira was not steady in War. He was made to be steadfast in the war, rather. Yudhishthira was a cool type person and not at all warring and arrogant. Personally he never wanted war with his relatives and he didn't even urged to be a King. But 'situations' made him to fight and literally he was 'tied up to the war' with a person 'who was very difficult to fight with', ie Duryodhana.

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