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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 12 Jul 2013 10:36:36 +0200 |

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 --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: -mlogit- iterations not concave if not omitting intercept***From:*"Filippo Maria D'Arcangelo" <filippo.darcangelo@unibocconi.it>

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