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Re: st: mlogit problem


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: mlogit problem
Date   Sun, 17 Feb 2013 10:07:36 -0500

On Sun, Feb 17, 2013 at 6:46 AM, saqlain raza <bhatti_sb@yahoo.com> wrote:
> Hello,
> I am trying to fit -mlogit- with aroung 60 covariates (discrete and continous) initially to see the significnat variables. My dependent variable has four alternate choices. Upto 44 covariates it converges. But, if I add one more variable, iteration process starts and at the end, the result is not converged. Any help will be highly acknowleged.
>
> Saqlain
> PhD Researcher

You need to indicate your N but you are running a probably unfittable
model. With 60 covariates in an mlogit model you have 180 parameters
and the chances of a non-concave likelihood, collinearity problems or
perfect prediction become higher and higher. This is simply going to
fail. I'd really go back to rethink your problem as looking at
statistical significance is usually not a very good way to do variable
selection anyway.

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