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From |
"Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Testing constraints on ISCs in -clogit- |

Date |
Sat, 5 Feb 2005 06:26:56 -0000 (GMT) |

All, Hiya! After a very helpful and constructive private dialogue with May Boggess at StataCorp, I was told that, in fitting a -clogit- model, the 'individual'-specific variables (ISVs) (i.e., independent variables which are interacted with the alternative-specfic constants) _must_ have their parameters initially constrained. Quite a revelation, given that no mention is made of this in quite a number of texts that set out the conditional (mixed) logit model. After eventually working out how to set about doing it, my final (edited) output for the 'null' model was this: . clogit winner edchange edchgsqd spending spendsqd letoutXcon letoutXlab letoutXldm clmargXcon clmargXlab cdmargXcon cdmargXldm ldmargXlab dmargXldm classXcon classXlab classXldm, group(id) constraints(1 2 3 4 5 6 7 8 9 10 11 12) or Iteration 0: log likelihood = -2604.3979 Iteration 1: log likelihood = -1531.3854 Iteration 2: log likelihood = -1457.0306 Iteration 3: log likelihood = -1455.6393 Iteration 4: log likelihood = -1455.6368 Iteration 5: log likelihood = -1455.6368 Conditional (fixed-effects) logit regression Number of obs = 10985 Wald chi2(4) = 1535.80 Log likelihood = -1455.6368 Prob > chi2 = 0.0000 ( 1) [winner]letoutXcon = 0 ( 2) [winner]letoutXlab = 0 ( 3) [winner]letoutXldm = 0 ( 4) [winner]clmargXcon = 0 ( 5) [winner]clmargXlab = 0 ( 6) [winner]cdmargXcon = 0 ( 7) [winner]cdmargXldm = 0 ( 8) [winner]ldmargXlab = 0 ( 9) [winner]ldmargXldm = 0 (10) [winner]classXcon = 0 (11) [winner]classXlab = 0 (12) [winner]classXldm = 0 ---------------------------------------------------------------------------- winner | Odds Ratio Std. Err. z P>|z| [95% Conf. Interval] -----------+---------------------------------------------------------------- edchange | .0001503 .0000605 -21.86 0.000 .0000683 .000331 edchgsqd | 1020589 2276743 6.20 0.000 12881.91 8.09e+07 spending | .2908725 .1378165 -2.61 0.009 .1149212 .7362161 spendsqd | 234.0945 117.4051 10.88 0.000 87.59698 625.5951 letoutXcon | 1 . . . . . letoutXlab | 1 . . . . . letoutXldm | 1 . . . . . clmargXcon | 1 . . . . . clmargXlab | 1 . . . . . cdmargXcon | 1 . . . . . cdmargXldm | 1 . . . . . ldmargXlab | 1 . . . . . ldmargXldm | 1 . . . . . classXcon | 1 . . . . . classXlab | 1 . . . . . classXldm | 1 . . . . . ---------------------------------------------------------------------------- . est store nmodel . lrtest fmodel nmodel LR test likely invalid for models with robust vce r(498); . lrtest fmodel nmodel, force likelihood-ratio test LR chi2(12) = 1813.60 (Assumption: nmodel nested in fmodel) Prob > chi2 = 0.0000 Although May didn't actually say the parameters were to be constrained to zero, I assumed this was what she meant and it does appear sensible. However, although I finally got what I wanted (a test result which appears to strongly confirm that the ISVs included in the full model should be retained), -lrtest- had to be -force-d to run, as you can see. Is it safe to accept this result given the rather ominous error message that appeared after -lrtest- was first run? I'm not sure, but it does represent an emormous difference in the model log-likelihoods for only 12 df (the critical chi-squared value at p=.05 is 21.026). There is no other way do such a test after -clogit- as far as I'm aware. Thanks in anticipation. CLIVE NICHOLAS |t: 0(044)7903 397793 Politics |e: clive.nicholas@ncl.ac.uk Newcastle University |http://www.ncl.ac.uk/geps * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: sw command within bstrap***From:*pra06 <e.thomas@cphc.keele.ac.uk>

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