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st: -mlogit- iterations not concave if not omitting intercept

From   "Filippo Maria D'Arcangelo" <>
Subject   st: -mlogit- iterations not concave if not omitting intercept
Date   Fri, 12 Jul 2013 10:13:25 +0200 (CEST)

Dear statalisters,

I am using the -mlogit- command in order to estimate probabilities over 16 categories of a dependent variable.
It is performing pretty decently when i omit the intercept (with the -, nocons- option).
I have 8 dependent variables plus a categorical variable that i wish to include. This categorical variable has 10 categories and i use the -i.- prefix when i run the regression. Two of the categories are omitted (not one): i think this is due to the few observations in one of them.

As soon as I regress without the -, nocons- option, my regression suffers from non-concavity. I think that the problem is in the categorical covariate.

What could be the explanation?
Is it a big mistake to use the -, iteration (20)- option and retain those results?
I have already tried the -, difficult- algorithm but it doesn't perform any better.

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