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Re: st: FIRTHLOGIT with factor (categorical variables)

From   Maarten buis <>
Subject   Re: st: FIRTHLOGIT with factor (categorical variables)
Date   Tue, 21 Sep 2010 14:03:15 +0000 (GMT)

--- On Tue, 21/9/10, Warren Chow wrote:
> 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.

That is the right solution, so if you want to use -firthlogit 
you'll just have to learn to live with the slowness. Moreover,
I am always left with a feeling of arbitrariness when it 
comes to the kind of penelized likehood used in -firthlogit-. 
I guess it won't matter too much in most practical application, 
but the logic doesn't sound too convincing to me (or I just do 
not understand it...). 

You could try -exlogistic- but i doubt whether that is going to
be quicker. Do not be fooled by the name though: exact methods, 
like -exlogistic-, sound great, but they are not as exact as the 
name suggest. On many properties that we care about, like 
coverage, the "exact" methods under perform compared to 
"non-exact" methods.

Alternatively, you can try to combine some categories of x1, so 
you can just use -logit-. As always, I prefer to simplify the 
model in cases like these, so that would be my prefered approach.

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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