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

[Maarten Buis <maartenlbuis@gmail.com>]

On Fri, Jul 12, 2013 at 10:13 AM, Filippo Maria D'Arcangelo wrote:
> 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.

You are asking a lot from your data, probably too much. I would not
expect an -mlogit- with a 16 category depedent variable and a 10
category independent variable to converge in most datasets I usually
work with (approximately 5,000 - 200.000 observations). It might
happen, but it would surprise me when it does. You are just spreading
your data too thin. It may work in Census like datasets, but even
there it could easily be that the variables are such that data just
does not contain the information necessary to estimate that model. The
fact that your model seems to work with the -nocons- option makes me
very worried. Unless you manually entered that constant back in in
some way (e.g. M.L. Buis (2012) "Stata tip 106: With or without
reference", The Stata Journal, 12(1), pp. 162-164.) you should never
exclude the constant in a model like -mlogit-.

-- Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------

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