Re: st: -regress- vs -logit- problem

[David Jacobs <jacobs.184@osu.edu>]

Probably your model is under identified because you have a dummy 
explanatory variable, but no cases appear in one of the joint 
categories.  In other words, there must be cases in all four of the 0 or 1 
possibilities of both variables.  For example, if there are no (or only a 
few) cases that have a zero score on the dependent variable and a 1 score 
on a dummy explanatory variable, Stata's logit routine probably won't 
estimate the coefficient.

This is an extremely important feature.  Other packages including older 
(and maybe current) versions of SPSS would ignore this problem and happily 
produce erroneous results.  Before I had any experience with logit, I tried 
to help a colleague who was getting t-values greater than 40!  The reason, 
of course, was that the package he was using didn't deal with this 
problem.  See the discussion of this in the chapter on logit in the manual.

Dave Jacobs

At 02:42 PM 4/17/2003 -0700, you wrote:

> Hello stata-listers:
>
>
> I am puzzled by some regression results I obtained running -logit-,
> and -regress- on the same data set with Stata7-special edition. I wonder if
> someone out there has an explanation.
>
> I have an unbalanced panel data set with 3033 observations on 605 elderly
> households over 9 years (from 1990 to 1998), indexed by the variable UNITID.
> In case it matters, I am studying the probability of independent living.
>
>
> The dependent variable (HHindependent) is a binary indicator taking values 0
> and 1. I have about 81%  1s and 18%   0s.
>
> As preliminary analysis I just wanted to run some regression on the pooled
> data set without taking full advantage of the panel nature of the data.
>
> So I run
> 1) ordinary least square(linear probability model) regression using
> -regress-
>
> 2) logit regression, using -logit-
>
> on the same data, with the same list of explanatory variables: demographic
> characteristics, income quartiles, year dummies, leaving out 1 year (91), s
> tate dummies (I am using East German data-I am leaving out one state).
>
>
> The puzzle I have comes from the fact that while the -regress- regressions
> seem to run fine, while the -logit- regressions seem to have
> "identification" problems (some coefficients are not estimated).
>
>
> Does anybody have an idea of what may be going on?
>
>
> I am reporting below the regression output for :
> I  - regress
> II - regress with cluster (UNITID)
> III- logit
> IV - logit with cluster (UNITID)
>
>
> ______________________REGRESS
>
> . regress HHindependent `regvarsi3e' `yrdummies91all' `Estatesreg';
>
>       Source |       SS       df       MS              Number of obs 
> =    3033
> -------------+------------------------------           F( 35,  2997) =   13.39
>        Model |  64.2635048    35  1.83610014           Prob > 
> F      =  0.0000
>     Residual 
> |  410.965641  2997  .137125673           R-squared     =  0.1352
> -------------+------------------------------           Adj R-squared =  0.1251
>        Total |  475.229146  3032  .156737845           Root 
> MSE      =   .3703
>
> ------------------------------------------------------------------------------
> HHindepend~t |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>        age10 
> |    1.72529   .2094201     8.24   0.000     1.314668    2.135911
>      age10sq 
> |  -12.10316   1.368259    -8.85   0.000    -14.78598   -9.420341
>      unmarrf 
> |  -.1571164    .023347    -6.73   0.000    -.2028941   -.1113386
>      unmarrm 
> |   .1998399   .0614865     3.25   0.001       .07928    .3203999
>     REschool 
> |    .006765   .0037162     1.82   0.069    -.0005216    .0140516
>      working 
> |   .0592516   .0267578     2.21   0.027     .0067862     .111717
>     inc2ndqe 
> |  -.0080573   .0199643    -0.40   0.687    -.0472024    .0310879
>     inc3rdqe 
> |   .0089798   .0228005     0.39   0.694    -.0357265    .0536861
>     inc4thqe 
> |   .0323398   .0277629     1.16   0.244    -.0220964    .0867761
>     ihaskids 
> |   -.274894   .0556804    -4.94   0.000    -.3840698   -.1657183
>       inkids 
> |  -.0052976   .0067411    -0.79   0.432    -.0185152    .0079201
>   iageystkid 
> |   .0717329    .011233     6.39   0.000     .0497077    .0937582
>       inhosp 
> |  -.0085191   .0254949    -0.33   0.738    -.0585084    .0414701
>       hosday 
> |   .0004757   .0006303     0.75   0.450    -.0007602    .0017115
>          doc 
> |  -.0000974   .0011585    -0.08   0.933     -.002369    .0021742
>       HHsret 
> |   .0228024   .0067669     3.37   0.001     .0095342    .0360705
>     sincewid 
> |   .0189887   .0075886     2.50   0.012     .0041093    .0338682
>      Mtotinc 
> |  -.0207275   .0269881    -0.77   0.443    -.0736446    .0321896
>      Minhosp 
> |   .1661974   .1676117     0.99   0.321    -.1624482    .4948429
>      Mhosday 
> |  -.3761677   .3756514    -1.00   0.317    -1.112728    .3603928
>         Mdoc 
> |  -.6482065   .3733892    -1.74   0.083    -1.380332    .0839185
>        Mswid 
> |   .1085138   .0241345     4.50   0.000      .061192    .1558355
>         yr90 
> |   1.057486   .5310866     1.99   0.047     .0161551    2.098817
>         yr92 
> |   .1504509   .1692793     0.89   0.374    -.1814646    .4823664
>         yr93 
> |   1.004045   .5334925     1.88   0.060    -.0420033    2.050094
>         yr94 
> |   .1325063   .1716881     0.77   0.440    -.2041322    .4691448
>         yr95 
> |   .1200957   .1725592     0.70   0.487    -.2182508    .4584421
>         yr96 
> |   .1203629   .1735264     0.69   0.488      -.21988    .4606059
>         yr97 
> |   .1056407   .1746709     0.60   0.545    -.2368463    .4481278
>         yr98 
> |   .0743477   .1750938     0.42   0.671    -.2689686    .4176639
> EMeckenbur~a |   .0125316   .0359104     0.35   0.727    -.0578799    .0829431
> EBrandenburg |  -.0470541   .0326402    -1.44   0.150    -.1110536    .0169454
> ESaxonyAnh~t |  -.0184585   .0311472    -0.59   0.553    -.0795305    .0426135
>   EThuringia 
> |   -.058571   .0320749    -1.83   0.068     -.121462    .0043201
>      ESaxony 
> |  -.0343495   .0298691    -1.15   0.250    -.0929155    .0242165
>        _cons 
> |  -5.509123   .8089009    -6.81   0.000     -7.09518   -3.923066
> ------------------------------------------------------------------------------
>
>
> ______________________REGRESS WITH CLUSTER
>
> . *w/ cluster;
> . regress HHindependent `regvarsi3e' `yrdummies91all' `Estatesreg', 
> cluster (UN
> > ITID);
>
> Regression with robust standard errors                 Number of obs =    3033
>                                                        F( 34,   604) 
> =       .
>                                                        Prob > 
> F      =       .
>                                                        R-squared     = 
> 0.1352
> Number of clusters (UNITID) = 605                      Root MSE      =   .3703
>
> ------------------------------------------------------------------------------
>              |               Robust
> HHindepend~t |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>        age10 
> |    1.72529   .3918699     4.40   0.000     .9556968    2.494883
>      age10sq 
> |  -12.10316   2.584262    -4.68   0.000    -17.17839   -7.027933
>      unmarrf 
> |  -.1571164    .047807    -3.29   0.001    -.2510046   -.0632282
>      unmarrm 
> |   .1998399   .1246804     1.60   0.109    -.0450198    .4446996
>     REschool 
> |    .006765   .0069224     0.98   0.329      -.00683      .02036
>      working 
> |   .0592516   .0338047     1.75   0.080    -.0071374    .1256406
>     inc2ndqe 
> |  -.0080573   .0338754    -0.24   0.812    -.0745851    .0584706
>     inc3rdqe 
> |   .0089798   .0421138     0.21   0.831    -.0737275    .0916871
>     inc4thqe 
> |   .0323398   .0459495     0.70   0.482    -.0579003      .12258
>     ihaskids 
> |   -.274894   .1175637    -2.34   0.020    -.5057773   -.0440107
>       inkids 
> |  -.0052976   .0157426    -0.34   0.737    -.0362145    .0256194
>   iageystkid 
> |   .0717329   .0237222     3.02   0.003     .0251448     .118321
>       inhosp 
> |  -.0085191    .024372    -0.35   0.727    -.0563832    .0393449
>       hosday 
> |   .0004757   .0005144     0.92   0.355    -.0005345    .0014859
>          doc 
> |  -.0000974   .0012903    -0.08   0.940    -.0026315    .0024366
>       HHsret 
> |   .0228024   .0121241     1.88   0.060    -.0010081    .0466128
>     sincewid 
> |   .0189887   .0138289     1.37   0.170    -.0081699    .0461474
>      Mtotinc 
> |  -.0207275   .0361028    -0.57   0.566    -.0916297    .0501747
>      Minhosp 
> |   .1661974    .074863     2.22   0.027      .019174    .3132207
>      Mhosday 
> |  -.3761677   .1257164    -2.99   0.003     -.623062   -.1292734
>         Mdoc 
> |  -.6482065   .0929942    -6.97   0.000    -.8308378   -.4655752
>        Mswid 
> |   .1085138   .0582869     1.86   0.063    -.0059558    .2229833
>         yr90 
> |   1.057486   .1727173     6.12   0.000     .7182869    1.396686
>         yr93 
> |   1.004045   .1964445     5.11   0.000      .618248    1.389842
>         yr94 
> |   .1325063   .0865059     1.53   0.126    -.0373826    .3023952
>         yr95 
> |   .1200957   .0926225     1.30   0.195    -.0618056     .301997
>         yr96 
> |   .1203629   .0993759     1.21   0.226    -.0748014    .3155272
>         yr97 
> |   .1056407   .1061331     1.00   0.320    -.1027939    .3140754
>         yr98 
> |   .0743477   .1137448     0.65   0.514    -.1490356    .2977309
> EMeckenbur~a |   .0125316   .0722889     0.17   0.862    -.1294366    .1544998
> EBrandenburg |  -.0470541   .0672328    -0.70   0.484    -.1790926    .0849844
> ESaxonyAnh~t |  -.0184585   .0601576    -0.31   0.759     -.136602    .0996849
>   EThuringia 
> |   -.058571   .0668219    -0.88   0.381    -.1898025    .0726606
>      ESaxony 
> |  -.0343495   .0594099    -0.58   0.563    -.1510246    .0823256
>        _cons 
> |  -5.509123   1.464978    -3.76   0.000    -8.386191   -2.632054
> ------------------------------------------------------------------------------
>
>
>
> ______________________LOGIT
>
> . logit HHindependent `regvarsi3e' `yrdummies91all' `Estatesreg';
>
> Iteration 0:   log likelihood = -1494.4222
> Iteration 1:   log likelihood = -1310.8318
> Iteration 2:   log likelihood = -1295.8374
> Iteration 3:   log likelihood = -1295.5631
> Iteration 4:   log likelihood = -1295.5231
> Iteration 5:   log likelihood = -1295.5088
> Iteration 6:   log likelihood = -1295.5035
> Iteration 7:   log likelihood = -1295.5016
> Iteration 8:   log likelihood = -1295.5009
> Iteration 9:   log likelihood = -1295.5007
> Iteration 10:  log likelihood = -1295.5006
> Iteration 11:  log likelihood = -1295.5005
> Iteration 12:  log likelihood = -1295.5005
> Iteration 13:  log likelihood = -1295.5005
> Iteration 14:  log likelihood = -1295.5005
> Iteration 15:  log likelihood = -1295.5005
>
> Logit estimates                                   Number of obs   =       3033
>                                                   LR 
> chi2(35)     =     397.84
>                                                   Prob > 
> chi2     =     0.0000
> Log likelihood = -1295.5005                       Pseudo R2       =     0.1331
>
> ------------------------------------------------------------------------------
> HHindepend~t |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>        age10 
> |   9.825098   1.474932     6.66   0.000     6.934284    12.71591
>      age10sq 
> |   -68.8575   9.606791    -7.17   0.000    -87.68646   -50.02853
>      unmarrf 
> |  -1.103388   .1788826    -6.17   0.000    -1.453991   -.7527847
>      unmarrm 
> |   1.657784   .4979874     3.33   0.001     .6817468    2.633822
>     REschool 
> |   .0724962   .0353953     2.05   0.041     .0031227    .1418696
>      working 
> |   .4411615   .2267498     1.95   0.052      -.00326    .8855829
>     inc2ndqe 
> |  -.0919223   .1320087    -0.70   0.486    -.3506547    .1668101
>     inc3rdqe 
> |   .0288757   .1568815     0.18   0.854    -.2786063    .3363578
>     inc4thqe 
> |   .2958868   .2199417     1.35   0.179    -.1351911    .7269647
>     ihaskids 
> |  -2.227045   .4500639    -4.95   0.000    -3.109154   -1.344935
>       inkids 
> |  -.0282717   .0496574    -0.57   0.569    -.1255985     .069055
>   iageystkid 
> |   .5495892   .0880904     6.24   0.000     .3769352    .7222432
>       inhosp 
> |  -.0906316   .2093995    -0.43   0.665     -.501047    .3197839
>       hosday 
> |   .0052262   .0061117     0.86   0.392    -.0067524    .0172048
>          doc 
> |   .0018684   .0101601     0.18   0.854    -.0180451    .0217819
>       HHsret 
> |   .1578774   .0469897     3.36   0.001     .0657793    .2499756
>     sincewid 
> |   .1343867    .063823     2.11   0.035      .009296    .2594775
>      Mtotinc 
> |  -.1558351   .1971134    -0.79   0.429    -.5421703    .2305001
>      Minhosp 
> |   15.10439   5.617058     2.69   0.007     4.095156    26.11362
>      Mhosday 
> |  -15.80332   3078.857    -0.01   0.996    -6050.253    6018.646
>         Mdoc 
> |   -17.5004   3078.857    -0.01   0.995     -6051.95    6016.949
>        Mswid 
> |   .6820572   .1757825     3.88   0.000     .3375299    1.026584
>         yr90 
> |   33.53294   .2442489   137.29   0.000     33.05423    34.01166
>         yr92 
> |   14.94642   5.605924     2.67   0.008     3.959011    25.93383
>         yr93 
> |   33.14143          .        .       .            .           .
>         yr94 
> |   14.82122   5.594651     2.65   0.008     3.855907    25.78653
>         yr95 
> |   14.74335   5.589532     2.64   0.008     3.788069    25.69863
>         yr96 
> |   14.76784   5.580191     2.65   0.008     3.830867    25.70481
>         yr97 
> |   14.68051   5.577395     2.63   0.008     3.749016      25.612
>         yr98 
> |   14.46161    5.56966     2.60   0.009     3.545275    25.37794
> EMeckenbur~a |   .0067768   .3069741     0.02   0.982    -.5948814    .6084349
> EBrandenburg |  -.3790279   .2695437    -1.41   0.160    -.9073238    .1492679
> ESaxonyAnh~t |  -.1671577    .266444    -0.63   0.530    -.6893783     .355063
>   EThuringia 
> |  -.5327646   .2672993    -1.99   0.046    -1.056662   -.0088677
>      ESaxony 
> |  -.3208551   .2549864    -1.26   0.208    -.8206193     .178909
>        _cons 
> |  -48.69204          .        .       .            .           .
> ------------------------------------------------------------------------------
>
>
> ______________________LOGIT WITH CLUSTER
>
> . logit HHindependent `regvarsi3e' `yrdummies91all' `Estatesreg', cluster 
> (UNIT
> > ID);
>
> Iteration 0:   log likelihood = -1494.4222
> Iteration 1:   log likelihood = -1310.8318
> Iteration 2:   log likelihood = -1295.8374
> Iteration 3:   log likelihood = -1295.5631
> Iteration 4:   log likelihood = -1295.5231
> Iteration 5:   log likelihood = -1295.5088
> Iteration 6:   log likelihood = -1295.5035
> Iteration 7:   log likelihood = -1295.5016
> Iteration 8:   log likelihood = -1295.5009
> Iteration 9:   log likelihood = -1295.5007
> Iteration 10:  log likelihood = -1295.5006
> Iteration 11:  log likelihood = -1295.5005
> Iteration 12:  log likelihood = -1295.5005
> Iteration 13:  log likelihood = -1295.5005
> Iteration 14:  log likelihood = -1295.5005
> Iteration 15:  log likelihood = -1295.5005
>
> Logit estimates                                   Number of obs   =       3033
>                                                   Wald 
> chi2(32)   =          .
>                                                   Prob > 
> chi2     =          .
> Log likelihood = -1295.5005                       Pseudo R2       =     0.1331
>
>                            (standard errors adjusted for clustering on 
> UNITID)
> ------------------------------------------------------------------------------
>              |               Robust
> HHindepend~t |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>        age10 
> |   9.825098   2.572489     3.82   0.000     4.783112    14.86708
>      age10sq 
> |   -68.8575   16.77575    -4.10   0.000    -101.7374   -35.97763
>      unmarrf 
> |  -1.103388   .3637325    -3.03   0.002    -1.816291   -.3904855
>      unmarrm 
> |   1.657784   1.076365     1.54   0.124     -.451852     3.76742
>     REschool 
> |   .0724962   .0813161     0.89   0.373    -.0868805    .2318728
>      working 
> |   .4411615   .3172762     1.39   0.164    -.1806884    1.063011
>     inc2ndqe 
> |  -.0919223   .2001677    -0.46   0.646    -.4842437    .3003991
>     inc3rdqe 
> |   .0288757   .2644937     0.11   0.913    -.4895224    .5472739
>     inc4thqe 
> |   .2958868   .3632515     0.81   0.415     -.416073    1.007847
>     ihaskids 
> |  -2.227045   .9968293    -2.23   0.025    -4.180794   -.2732949
>       inkids 
> |  -.0282717    .113625    -0.25   0.804    -.2509726    .1944292
>   iageystkid 
> |   .5495892   .1870421     2.94   0.003     .1829935    .9161849
>       inhosp 
> |  -.0906316   .2123915    -0.43   0.670    -.5069112     .325648
>       hosday 
> |   .0052262   .0062152     0.84   0.400    -.0069554    .0174078
>          doc 
> |   .0018684   .0133519     0.14   0.889    -.0243009    .0280377
>       HHsret 
> |   .1578774   .0775546     2.04   0.042     .0058733    .3098816
>     sincewid 
> |   .1343867   .1248643     1.08   0.282    -.1103429    .3791164
>      Mtotinc 
> |  -.1558351   .2569348    -0.61   0.544    -.6594181    .3477479
>      Minhosp 
> |   15.10439   9.753298     1.55   0.121    -4.011726     34.2205
>      Mhosday 
> |  -15.80332          .        .       .            .           .
>         Mdoc 
> |   -17.5004   .4866639   -35.96   0.000    -18.45424   -16.54656
>        Mswid 
> |   .6820572   .4135305     1.65   0.099    -.1284478    1.492562
>         yr90 
> |   33.53294   .2590115   129.47   0.000     33.02529     34.0406
>         yr92 
> |   14.94642   9.745674     1.53   0.125    -4.154751    34.04759
>         yr93 
> |   33.14143          .        .       .            .           .
>         yr94 
> |   14.82122   9.732182     1.52   0.128    -4.253505    33.89595
>         yr95 
> |   14.74335   9.717325     1.52   0.129    -4.302257    33.78896
>         yr96 
> |   14.76784   9.700585     1.52   0.128    -4.244956    33.78064
>         yr97 
> |   14.68051   9.707253     1.51   0.130    -4.345357    33.70638
>         yr98 
> |   14.46161   9.689107     1.49   0.136    -4.528694    33.45191
> EMeckenbur~a |   .0067768   .7102018     0.01   0.992    -1.385193    1.398747
> EBrandenburg |  -.3790279   .6026149    -0.63   0.529    -1.560131    .8020756
> ESaxonyAnh~t |  -.1671577   .5941251    -0.28   0.778    -1.331622    .9973062
>   EThuringia 
> |  -.5327646   .6107117    -0.87   0.383    -1.729738    .6642083
>      ESaxony 
> |  -.3208551   .5773546    -0.56   0.578    -1.452449    .8107391
>        _cons 
> |  -48.69204          .        .       .            .           .
> ------------------------------------------------------------------------------
>
>
>
>
> ----------------------------------------------------------------------
>
> Thank you very much in advance for any help you can give me,
>
> Enrica Croda
>
>
> *
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