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st: FIRTHLOGIT with factor (categorical variables)


From   Warren Chow <warrenchow2012@u.northwestern.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: FIRTHLOGIT with factor (categorical variables)
Date   Tue, 21 Sep 2010 08:25:13 -0500

I am trying to do a logistic regression in STATA for a dichotomous output
variable y using various categorical predictors. One of these predictors,
x1, has many levels. The goal is produce linear predictions (predict
linearx1, xb) so I can perform another logistic regression with the
remaining predictors (logit y linearx1 i.x2 i.x3 i.x4).  

The first logistic regression encounters complete and quasi separation at
various stages using the standard maximization techniques provided by stata.
I would like to use a Firth  penalized maximum likelihood estimation and
have downloaded the FIRTHLOGIT macro from
http://ideas.repec.org/c/boc/bocode/s456948.html#abstract. This technique
previously successfully linearized x1 using SAS. However, FIRTHLOGIT does
not support factor (categorical) variables. For example, in the newer
versions of STATA, you can use:

logit y i.x

But the following does not work:

firthlogit y i.x

Is there another version of the macro that supports factor variables, or an
easy way to modify to code? I have tried the following:

xi : firthlogit y i.x

But this is extremely slow.

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