Tuesday, March 21, 2006

Re: st: Re: hausman test after mlogit - negative chi-square

Marilyn Ibara wrote:

> I estimated a Multinominal logit model with 7 choices. I > have 17 independent variables. I specified mlogtest after I > ran the mlogit command.

It would have been worth mentioning the _full_ command (I suspect) you used to get the post-estimation results shown in your post: -mlogtest, all-.

> I am not sure about my results. Does anyone know how it is > possible to get a negative Chi-square for the hausman test > for IIA as I did in my results? Also, how are the degrees > of freedom calculated, it appears that I should have 17 and > not what is reported.

This question is answered by Long and Freese (2006: 244-5) in the second edition of their excellent textbook, cited below my signature. Essentially, this is very common, and it is often evidence that the independence of irrelevant alternatives (IIA) has _not_ been violated. They also suggest a good tip to confirm your results here: choose a different base category and run the same -mlogtest- command.

> Furthermore, my results of the hausman test differ from the > small-hsiao test, they contradict each other, I read online > this is common, does anyone know how one determines which > one is appropriate?

Long and Freese (2006: 243), quoting Monte Carlo research conducted by Cheng and Long (2005), report that neither the Hausman-McFadden (HM) nor the Small-Hsiao (SH) test is especially useful for assessing violations of IIA. This is largely because both have poor size properties even with some kinds of data, even N > 1000 in the case of HM but also sometimes for SH when N > 500. The best advice they give is only to use -mlogit- when you can _clearly_ distinguish between the outcome categories in your dataset. Quite frankly, I couldn't agree more.

In sum, buy Long and Freese!

CLIVE NICHOLAS |t: 0(044)7903 397793 Politics |e: clive.nicholas@ncl.ac.uk Newcastle University |http://www.ncl.ac.uk/geps

References:

Cheng S and Long JS (2005) "Testing For IIA in the Multinomial Logit Model", University of Connecticut, Working Paper.

Long JS and Freese J (2nd ed, 2006) REGRESSION MODELS FOR CATEGORICAL DEPENDENT VARIABLES USING STATA, College Station, TX: Stata Press.

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