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RE: st: Multinomial Logit Model - Cramer Ridder Test
From
Ian Li <[email protected]>
To
Statalist <[email protected]>
Subject
RE: st: Multinomial Logit Model - Cramer Ridder Test
Date
Wed, 16 Nov 2011 01:26:52 +0000
Nick, the output from -trace- is copied below.
- version 7.0
- tempvar sample tmp new
- tempname b valnum rcount nxtrow coef output C testn
- if "`e(cmd)'" != "mlogit" {
= if "mlogit" != "mlogit" {
di _n in y "crtest" in r " only works after " in y "mlogit"
exit 498
}
- local depvar = e(depvar)
- matrix `coef' = e(b)
= matrix __000007 = e(b)
- local cols = colsof(`coef')
= local cols = colsof(__000007)
- local regs = `cols' / (e(k_out) - 1)
= local regs = 28 / (e(k_out) - 1)
- matrix `b' = `coef'[1, 1..`regs']
= matrix __000003 = __000007[1, 1..4.666666666666667]
- local rhs : colnames(`b')
= local rhs : colnames(__000003)
- local rhs : subinstr local rhs "_cons" ""
- _pecats
- local catnms8 "`r(catnms8)'"
= local catnms8 "1 2 3 4 5 6 7"
- local ll = e(ll)
- local numcasts = e(k_out)
- local df = e(df_m) / (e(k_out) - 1)
- if "`e(wtype)'" != "" {
= if "" != "" {
local wtis "[`e(wtype)'`e(wexp)']"
local wexp2 "`e(wexp)'"
}
- quietly {
- generate `sample' = e(sample)
= generate __000000 = e(sample)
- if "`e(wtype)'" == "" | "`e(wtype)'" == "aweight" | "`e(wtype)'" == "pweight" {
= if "" == "" | "" == "aweight" | "" == "pweight" {
- count if `sample'
= count if __000000
- scalar `testn' = r(N)
= scalar __00000A = r(N)
- }
- else if "`e(wtype)'" == "fweight" | "`e(wtype)'" == "iweight" {
= else if "" == "fweight" | "" == "iweight" {
local wtexp = substr("`e(wexp)'", 3, .)
gen `tmp' = (`wtexp') * `sample'
su `tmp', meanonly
scalar `testn' = round(r(sum),1)
}
- }
- if e(N) ~= `testn' {
= if e(N) ~= __00000A {
di _n in r "data has been altered since " in y "mlogit" in r " was estimated"
exit 459
}
- if e(k_out) == 2 {
di _n in r "Cramer-Ridder test requires at least 3 dependent categories"
exit 148
}
- mat `output' = (1, 1, 1, 1)
= mat __000008 = (1, 1, 1, 1)
- mat colnames `output' = "ln L" "ln Lr" LR "P>chi2"
= mat colnames __000008 = "ln L" "ln Lr" LR "P>chi2"
- qui tabulate `depvar' if `sample', matrow(`valnum') matcell(`rcount')
= qui tabulate overed if __000000, matrow(__000004) matcell(__000005)
- local nrows = rowsof(`valnum')
= local nrows = rowsof(__000004)
- local c = `valnum'[1,1]
= local c = __000004[1,1]
- forval i = 2 / `nrows' {
= forval i = 2 / 7 {
- forval i = 2 / `nrows' {
- local c = max(`c', `valnum'[`i',1])
= local c = max(1, __000004[2,1])
- }
- local c = max(`c', `valnum'[`i',1])
= local c = max(2, __000004[3,1])
- }
- local c = max(`c', `valnum'[`i',1])
= local c = max(3, __000004[4,1])
- }
- local c = max(`c', `valnum'[`i',1])
= local c = max(4, __000004[5,1])
- }
- local c = max(`c', `valnum'[`i',1])
= local c = max(5, __000004[6,1])
- }
- local c = max(`c', `valnum'[`i',1])
= local c = max(6, __000004[7,1])
- }
- if "`e(wtype)'" == "" {
= if "" == "" {
- gen `new' = 0
= gen __000002 = 0
- quietly forval count1 = 1 / `numcasts' {
= quietly forval count1 = 1 / 7 {
- quietly forval count1 = 1 / `numcasts' {
- tempname ccount1
- local c2 = `count1' + 1
= local c2 = 1 + 1
- forval count2 = `c2' / `numcasts' {
= forval count2 = 2 / 7 {
- forval count2 = `c2' / `numcasts' {
- tempname ccount2 adj_`count1'_`count2'
= tempname ccount2 adj_1_2
- tempname LR_`count1'_`count2'
= tempname LR_1_2
- replace `new' = `depvar'
= replace __000002 = overed
- replace `new' = `c' + 1 if `depvar' == `valnum'[`count1', 1] | `depvar' == `valnum'[`c
> ount2', 1]
= replace __000002 = 7 + 1 if overed == __000004[1, 1] | overed == __000004[2, 1]
- mlogit `new' `rhs' if `sample'
= mlogit __000002 o.female o.noneng o.nonaust o. female if __000000
factor variables and time-series operators not allowed
local llp = e(ll)
scalar `ccount1' = `rcount'[`count1', 1]
scalar `ccount2' = `rcount'[`count2', 1]
scalar `adj_`count1'_`count2'' = `ccount1' * ln(`ccount1') + `ccount2' * ln(`ccount2')
> -(`ccount1' + `ccount2') * ln(`ccount1'+ `ccount2')
local llr = `llp' + `adj_`count1'_`count2''
scalar `LR_`count1'_`count2'' = 2 * (`ll' - `llr')
local chi2 = `LR_`count1'_`count2''
local pval = chi2tail(`df', `LR_`count1'_`count2'')
local s1`count1'_`count2' : word `count1' of `catnms8'
local s2`count1'_`count2' : word `count2' of `catnms8'
mat `nxtrow' = (`ll', `llr', `chi2', `pval')
mat roweq `nxtrow' = "`s1`count1'_`count2''"
mat rownames `nxtrow' = "`s2`count1'_`count2''"
mat `output' = `output' \ `nxtrow'
}
}
di _n in g "**** Cramer-Ridder test for combining outcome categories"
di _n in g "Ho: Candidates for pooling have the same regressor coefficients "
di in g " apart from the intercept"
matrix `C' = `output'[2..rowsof(`output'),1..4]
matrix list `C', format(%9.3f) noheader
di _n in g "degrees of freedom for chi-square distribution: " in w `df'
}
------------------------------------------------------------------------- end crtest ---
r(101);
Richard's solution of using -mlogtest- 'works', in the sense that no error messages are generated. However, as Richard mentioned, he does not know how the test for combining outcomes in -mlogtest- differs with -crtest-. I'll think on it and see if -mlogtest- would suit my purpose.
Regards
Ian
----------------------------------------
> From: [email protected]
> To: [email protected]
> Date: Mon, 14 Nov 2011 10:35:34 +0000
> Subject: RE: st: Multinomial Logit Model - Cramer Ridder Test
>
> -crtest- as cited here long predates the introduction of factor variables in Stata. But you are not explicitly using factor variable notation. So it could well be something else. I'd
>
> . set trace on
> . set traced 1
> . crtest
>
> -- so you can report what is issuing the error.
>
> Nick
> [email protected]
>
> Muhammad Anees
>
> try without the -if year == 2009- as the help file suggests -crtest-
> "performs the test for pooling states" after the Multinomial logit
> models. The error suggest to not use time operators and factor
> variables. Also read the -help crtest- file for more information.
>
> On Mon, Nov 14, 2011 at 11:18 AM, Ian Li <[email protected]> wrote:
>
> > I am using Stata 11.2 on a Windows OS.
> >
> > I am estimating a multinomial logit model with 7 categorical outcomes. As the estimated log odds ratio and marginal effects for some of the outcomes (e.g.) are insignificant in statistical and economic terms, I would like to do a Cramer Ridder test (see Cramer J.S. and Ridder G. (1991), "Pooling States in the Multinomial Logit Model", Journal of Econometrics, 47, 267-272).
> >
> > There is a user-written program for this test:
> >
> > package crtest from http://fmwww.bc.edu/RePEc/bocode/c
> >
> > Distribution-Date: 20031203
> >
> > Author: Joao Pedro Azevedo, University of Newcastle-upon-Tyne, UK
> > Support: email [email protected]
> >
> > However, when I estimate the logit model and use the test I get the following output and error message:
> >
> >
> > . mlogit overed female noneng nonaust if year == 2009, vce (robust)
> >
> > Iteration 0: log pseudolikelihood = -109594.56
> > Iteration 1: log pseudolikelihood = -107547.29
> > Iteration 2: log pseudolikelihood = -106989.03
> > Iteration 3: log pseudolikelihood = -106976.66
> > Iteration 4: log pseudolikelihood = -106976.62
> > Iteration 5: log pseudolikelihood = -106976.62
> >
> > Multinomial logistic regression Number of obs = 68352
> > Wald chi2(18) = 5211.03
> > Prob > chi2 = 0.0000
> > Log pseudolikelihood = -106976.62 Pseudo R2 = 0.0239
> >
> > ------------------------------------------------------------------------------
> > | Robust
> > overed | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> > -------------+----------------------------------------------------------------
> > 1 | (base outcome)
> > -------------+----------------------------------------------------------------
> > 2 |
> > female | .0054676 .0238051 0.23 0.818 -.0411895 .0521248
> > noneng | -.1713411 .036681 -4.67 0.000 -.2432346 -.0994477
> > nonaust | -.4023007 .0666538 -6.04 0.000 -.5329397 -.2716617
> > _cons | -.6301703 .0196192 -32.12 0.000 -.6686234 -.5917173
> > -------------+----------------------------------------------------------------
> > 3 |
> > female | -.2061721 .0220245 -9.36 0.000 -.2493394 -.1630049
> > noneng | .2473055 .0309354 7.99 0.000 .1866732 .3079377
> > nonaust | .7666135 .0449734 17.05 0.000 .6784672 .8547598
> > _cons | -.4356624 .0180227 -24.17 0.000 -.4709862 -.4003386
> > -------------+----------------------------------------------------------------
> > 4 |
> > female | -.1237307 .0222175 -5.57 0.000 -.1672762 -.0801853
> > noneng | .1045945 .0315106 3.32 0.001 .0428348 .1663542
> > nonaust | .6037373 .0464335 13.00 0.000 .5127293 .6947453
> > _cons | -.4583203 .0183183 -25.02 0.000 -.4942236 -.422417
> > -------------+----------------------------------------------------------------
> > 5 |
> > female | -.2056775 .0364563 -5.64 0.000 -.2771306 -.1342244
> > noneng | .2566406 .0474816 5.41 0.000 .1635783 .3497029
> > nonaust | 1.251198 .0592131 21.13 0.000 1.135142 1.367253
> > _cons | -1.871285 .0300228 -62.33 0.000 -1.930128 -1.812441
> > -------------+----------------------------------------------------------------
> > 6 |
> > female | -.4014462 .0451968 -8.88 0.000 -.4900303 -.3128621
> > noneng | 1.138732 .0587742 19.37 0.000 1.023536 1.253927
> > nonaust | 2.322202 .0632143 36.74 0.000 2.198304 2.4461
> > _cons | -2.876826 .0415611 -69.22 0.000 -2.958284 -2.795368
> > -------------+----------------------------------------------------------------
> > 7 |
> > female | -.0626167 .1889866 -0.33 0.740 -.4330237 .3077902
> > noneng | -.1017222 .2996702 -0.34 0.734 -.6890651 .4856207
> > nonaust | .9465996 .3576756 2.65 0.008 .2455683 1.647631
> > _cons | -5.264885 .1549144 -33.99 0.000 -5.568511 -4.961258
> > ------------------------------------------------------------------------------
> >
> > .
> > end of do-file
> >
> > . crtest
> > factor variables and time-series operators not allowed
> > r(101);
> >
> > Could anyone please advise on what is causing the error message, and how I may resolve thi?
>
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