Take a look at the discussion of these measures in JS Long (1998). Regression models for categorical and limited dependent variables.
The short answer is that you should downlod -fitstat- by Long and Freese. However none of the various pseudo-R-square measures are without flaw.
What I teach my students---what I learned from my own categorical data instructor Carolyn Anderson---is to use them comparatively. Pick out a set of models that are theoretically meaningful, bracketing them by reference models that are too simple and too complex. Then fit all of these models. You should be able to use the fit index of your choice to compare the models using model comparison methods such as AIC.
However you still won't know whether it fits the data, for which there seems to be relatively little consensus at present. There are some non-likelihood-based indices of use such as the absolute discrepancy index based on abs(fitted - observed) for the probabilities. If you don't have many covariates it is often possible to generate predicted probs and their associated confidence intervals and plot the observed frequencies.
Some recent results suggest that limited information estimators based on lower order moments have a substantial advantage over full information for goodness of fit tests. See the work by Albert Maydeu-Olivares and Harry Joe in JASA (on handheld, sorry you'll have to use "The" Google for Albert's web page).
-----Original Message-----
From: "Chiara Mussida" <[email protected]>
To: "statalist" <[email protected]>
Sent: 10/2/2008 8:45 AM
Subject: st: goodness of MNL fit
Dear All,
i'm trying to find a reliable measure of goodness of fit for MNL.
Fitstat, indeed, shows the well known Mc Fadden R2 but there are
issues surrounding this indicator.
Do you know if there are other commands to implement to get such a
kind of indicator?
Thanks in advance
--
Chiara Mussida
PhD candidate
Doctoral school of Economic Policy
Catholic University, piacenza (Italy)
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
