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st: Re: Logit with constraints and no constant


From   "Rodrigo A. Alfaro" <ralfaro76@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Logit with constraints and no constant
Date   Tue, 26 Sep 2006 10:14:51 -0400

Hi,

Also, I could not add constraint to -mlogit-. The following
is the result using auto dataset:

 sysuse auto
(1978 Automobile Data)

 constraint define 1 _cons = 0

 mlogit  foreign mpg weight, const(1)

invalid syntax
r(198);

I wrote a easy program to replicate logit... and you
can add constraint. If you want to use [if] and [in]
statement you have to improve the base-program.

 program mylogit
  1. version 8
  2. args lnf theta
  3. tempvar cdf
  4. quietly gen double `cdf' = exp(`theta')/(1+exp(`theta'))
  5. quietly replace `lnf'=ln(`cdf') if $ML_y1!=0
  6. quietly replace `lnf'=ln(1-`cdf') if $ML_y1==0
  7. end


************** Example **********************

/// Comparing with logit and mlogit

 ml model lf mylogit (foreign =mpg weight)

 ml maximize, nolog

                                                  Number of obs   = 
74
                                                  Wald chi2(2)    = 
17.78
Log likelihood = -27.175156                       Prob > chi2     = 
0.0001

------------------------------------------------------------------------------
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
         mpg |  -.1685869   .0919175    -1.83   0.067    -.3487418 
011568
      weight |  -.0039067   .0010116    -3.86 
000    -.0058894    -.001924
       _cons |   13.70837   4.518709     3.03   0.002     4.851859 
22.56488
------------------------------------------------------------------------------

 logit  foreign mpg weight, nolog

Logit estimates                                   Number of obs   = 
74
                                                  LR chi2(2)      = 
35.72
                                                  Prob > chi2     = 
0.0000
Log likelihood = -27.175156                       Pseudo R2       = 
0.3966

------------------------------------------------------------------------------
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
         mpg |  -.1685869   .0919174    -1.83   0.067    -.3487418 
011568
      weight |  -.0039067   .0010116    -3.86 
000    -.0058894    -.001924
       _cons |   13.70837   4.518707     3.03   0.002     4.851864 
22.56487
------------------------------------------------------------------------------

 mlogit  foreign mpg weight, nolog

Multinomial logistic regression                   Number of obs   = 
74
                                                  LR chi2(2)      = 
35.72
                                                  Prob > chi2     = 
0.0000
Log likelihood = -27.175156                       Pseudo R2       = 
0.3966

------------------------------------------------------------------------------
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
Foreign      |
         mpg |  -.1685869   .0919174    -1.83   0.067    -.3487418 
011568
      weight |  -.0039067   .0010116    -3.86 
000    -.0058894    -.001924
       _cons |   13.70837   4.518707     3.03   0.002     4.851864 
22.56487
------------------------------------------------------------------------------
(Outcome foreign==Domestic is the comparison group)

/// Comparing with mlogit under noconstant option

 ml model lf mylogit (foreign = mpg weight, nocons)

 ml maximize, nolog

                                                  Number of obs   = 
74
                                                  Wald chi2(2)    = 
19.84
Log likelihood = -33.080146                       Prob > chi2     = 
0.0000

------------------------------------------------------------------------------
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
         mpg |   .1077839   .0321631     3.35   0.001     .0447455 
1708224
      weight |  -.0011884     .00028    -4.24 
0.000    -.0017371   -.0006397
------------------------------------------------------------------------------

 mlogit  foreign mpg weight, nocons nolog

Multinomial logistic regression                   Number of obs   = 
74
                                                  LR chi2(2)      = 
36.43
                                                  Prob > chi2     = 
0.0000
Log likelihood = -33.080146                       Pseudo R2       = 
0.3551

------------------------------------------------------------------------------
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
Foreign      |
         mpg |   .1077839   .0321613     3.35   0.001     .0447489 
170819
      weight |  -.0011884   .0002799    -4.24 
0.000     -.001737   -.0006397
------------------------------------------------------------------------------
(Outcome foreign==Domestic is the comparison group)

/// Alternative you can use the constraint of nonconstant

 ml model lf mylogit (foreign =mpg weight), const(1)

 ml maximize, nolog

                                                  Number of obs   = 
74
                                                  Wald chi2(2)    = 
19.84
Log likelihood = -33.080146                       Prob > chi2     = 
0.0000

 ( 1)  [eq1]_cons = 0
------------------------------------------------------------------------------
     foreign |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
         mpg |   .1077839   .0321614     3.35   0.001     .0447488 
1708191
      weight |  -.0011884   .0002799    -4.24 
0.000    -.0017371   -.0006397
       _cons |  (dropped)
------------------------------------------------------------------------------

***************** End example *******************************

----- Original Message ----- 
From: <mathew.stalker@dotecon.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, September 26, 2006 7:31 AM
Subject: st: Logit with constraints and no constant



I want to estimate a logit with constraints and no constant, does anybody
know if this is possible.

Logit does not seem to allow constraints, so I have used mlogit, but when I
include constraints and nocon I get the error : "redundant or inconsistent
constraints".

Is there any practical reason for this?

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