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Re: st: conditional logit (clogit) where number of choices=numberof dummy indicators


From   Partha Deb <[email protected]>
To   [email protected]
Subject   Re: st: conditional logit (clogit) where number of choices=numberof dummy indicators
Date   Wed, 20 Dec 2006 22:18:23 -0500

John,

With c choices, there are (c-1) "independent" probabilities. The probability of the c-th choice simply makes the probabilities sum to 1. Hence only c-1 intercepts can be estimated.

HTH

Partha

John Fulton wrote:

Hi. I am running a clogit as McFadden's choice model with c choices,1 record per choice within each chooser's "group." I created c dummies to interact with characterisics of choosers, but stata always drops one dummy due to collinearity.
My question is: what exactly is the cause of collinearity here?

My guess is that the c choices just also happens to be equal to the number of records within each group, so that it is more a matter of degrees of freedom than it is collinearity. That is, once stata has considered c-1 choices, the cth choice - and it always is the last one - is determined.

This is somewhat confusing because standard practice in ols regressions without intercepts is to include dummies for all c categories of an indicator, rather than the more typical case of c-1 dummies in regressions with intercepts. Since conditional logit intercepts drop out, I thought c dummies would be called for.

What do you think?
Thanks,
John.

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--
Partha Deb
Department of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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