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From |
"Filippo Maria D'Arcangelo" <filippo.darcangelo@unibocconi.it> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 12 Jul 2013 17:32:17 +0200 (CEST) |

I finally decided to trim the categories from 16 to 10. The model converges pretty well now. This way, I also hope to reduce the IIA. I know that 10 categories are probably still too many but I couldn't go with less. Moreover, I took Maarten's advice not to remove the constant as there was no reason to do that (except for having the log likelihoods to converge, which is fairly not a good reason). I still don't have completely clear why it worked, though. Thank you, filippo 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/

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