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st: multinomial logit models


From   "RonDorsey" <ron@dorsey21.fsnet.co.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: multinomial logit models
Date   Mon, 29 Jul 2002 22:02:15 +0100

Dear All

I have a number of questions re: the multinomial logit model.  Replies on
any of the questions raised will be much appreciated.

Here is a brief description of what I'm doing:

I have a model of mobility of sportsmen using (annual) career data for
approx. 300 players (effectively this is a panel data set
but I'm looking at overall mobility)

Dependent var = 0 (stays with same team)
                      = 1 (moves to new club)
                      = 2 (retires from sport)

Indep vars = (age,experience, player performance stats, team performance
stats and various qualitative dummy vars.)

My questions are as follows:-

1.    Can I compare results directly with a binomial logit (0,1) model?

a)  Is comparison of pseudo R-squared from the two models valid?

b)  Signs are good that (0,1,2) is a better spec, given lots of significant
p-values in categories 1 and 2 (11 in each category),
     but are there formal tests I should be using to compare the two models?

2.    I've investigated problems of collinearity but how can I test/account
for heteroscedasticity (or serial correlation)?

        e.g. I know that logit specs can give 'robust' standard errors but
this doesn't appear to be the case for multinomial logit

3.  Is there some testing I should be doing on the residuals? (I believe
these are less informative than residuals from OLS for
    example).

Hope someone out there can help.

Thanks

Ron Dorsey

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