6. The Multinomial Logit Regression Model
6.1 Multinomial Logit/Probit in STATA (.mlogit and .mprobit)
. mlogit transmode income age male, base(0)
Iteration 1: log likelihood = -411.18604
Iteration 2: log likelihood = -406.36474
Iteration 3: log likelihood = -406.3251
Iteration 4: log likelihood = -406.32509
Multinomial logistic regression Number of obs = 437
LR chi2(9) = 77.03
Prob > chi2 = 0.0000
Log likelihood = -406.32509 Pseudo R2 = 0.0866
------------------------------------------------------------------------------
transmode | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
1 |
income | 4.018021 1.34443 2.99 0.003 1.382986 6.653057
age | .1915917 .1392928 1.38 0.169 -.0814172 .4646006
male | .2582886 .4039971 0.64 0.523 -.5335311 1.050108
_cons | -6.903473 2.97678 -2.32 0.020 -12.73785 -1.069091
-------------+----------------------------------------------------------------
2 |
income | 8.951041 1.338539 6.69 0.000 6.327552 11.57453
age | .1374997 .1451938 0.95 0.344 -.1470749 .4220742
male | .1573179 .4191014 0.38 0.707 -.6641057 .9787415
_cons | -9.091051 3.088123 -2.94 0.003 -15.14366 -3.038442
-------------+----------------------------------------------------------------
3 |
income | 4.210485 1.032024 4.08 0.000 2.187755 6.233215
age | .3457236 .0995071 3.47 0.001 .1506932 .540754
male | .5402549 .2769887 1.95 0.051 -.0026329 1.083143
_cons | -8.388756 2.135792 -3.93 0.000 -12.57483 -4.202681
------------------------------------------------------------------------------
(transmode==0 is the base outcome)
. mlogit transmode income age male, base(3)
Iteration 1: log likelihood = -411.18604
Iteration 2: log likelihood = -406.36474
Iteration 3: log likelihood = -406.3251
Iteration 4: log likelihood = -406.32509
Multinomial logistic regression Number of obs = 437
LR chi2(9) = 77.03
Prob > chi2 = 0.0000
Log likelihood = -406.32509 Pseudo R2 = 0.0866
------------------------------------------------------------------------------
transmode | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
0 |
income | -4.210485 1.032024 -4.08 0.000 -6.233215 -2.187755
age | -.3457236 .0995071 -3.47 0.001 -.540754 -.1506932
male | -.5402549 .2769887 -1.95 0.051 -1.083143 .0026329
_cons | 8.388756 2.135792 3.93 0.000 4.202681 12.57483
-------------+----------------------------------------------------------------
1 |
income | -.1924639 1.00606 -0.19 0.848 -2.164305 1.779377
age | -.154132 .1131506 -1.36 0.173 -.3759031 .0676392
male | -.2819663 .3443963 -0.82 0.413 -.9569706 .3930379
_cons | 1.485283 2.430912 0.61 0.541 -3.279216 6.249783
-------------+----------------------------------------------------------------
2 |
income | 4.740556 .9447126 5.02 0.000 2.888953 6.592158
age | -.2082239 .1164954 -1.79 0.074 -.4365507 .0201028
male | -.382937 .3490247 -1.10 0.273 -1.067013 .3011389
_cons | -.7022953 2.460119 -0.29 0.775 -5.52404 4.119449
------------------------------------------------------------------------------
(transmode==3 is the base outcome)
. mlogtest, hausman smhsiao base
Ho: Odds(Outcome-J vs Outcome-K) are independent of other alternatives.
Omitted | chi2 df P>chi2 evidence
---------+------------------------------------
0 | 0.260 8 1.000 for Ho
1 | -3.307 8 1.000 for Ho
2 | -0.319 8 1.000 for Ho
3 | 2.315 8 0.970 for Ho
----------------------------------------------
**** Small-Hsiao tests of IIA assumption
Ho: Odds(Outcome-J vs Outcome-K) are independent of other alternatives.
Omitted | lnL(full) lnL(omit) chi2 df P>chi2 evidence
---------+---------------------------------------------------------
0 | -120.685 -116.139 9.092 4 0.059 for Ho
1 | -131.938 -128.574 6.728 4 0.151 for Ho
2 | -155.078 -150.308 9.540 4 0.049 against Ho
3 | -71.735 -67.571 8.327 4 0.080 for Ho
-------------------------------------------------------------------
. mprobit transmode income age male
Iteration 1: log likelihood = -407.95972
Iteration 2: log likelihood = -406.38652
Iteration 3: log likelihood = -406.38431
Iteration 4: log likelihood = -406.38431
Multinomial probit regression Number of obs = 437
Wald chi2(9) = 64.47
Log likelihood = -406.38431 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
transmode | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_outcome_2 |
income | 2.651949 .8328566 3.18 0.001 1.01958 4.284318
age | .1501467 .0903614 1.66 0.097 -.0269584 .3272519
male | .1967795 .262047 0.75 0.453 -.3168232 .7103822
_cons | -5.075328 1.953866 -2.60 0.009 -8.904835 -1.245822
-------------+----------------------------------------------------------------
_outcome_3 |
income | 5.757611 .8443105 6.82 0.000 4.102793 7.412429
age | .1218625 .0942662 1.29 0.196 -.0628959 .3066209
male | .1662947 .2772189 0.60 0.549 -.3770444 .7096339
_cons | -6.547874 2.031953 -3.22 0.001 -10.53043 -2.565319
-------------+----------------------------------------------------------------
_outcome_4 |
income | 2.751622 .6936632 3.97 0.000 1.392067 4.111177
age | .2760071 .074178 3.72 0.000 .1306208 .4213933
male | .4232271 .2086763 2.03 0.043 .0142289 .8322252
_cons | -6.375609 1.598767 -3.99 0.000 -9.509134 -3.242083
------------------------------------------------------------------------------
PROC CATMOD DATA = masil.students;
DIRECT income age male;
RESPONSE LOGITS;
MODEL transmode = income age male /NOPROFILE;
RUN;
Data Summary
Response transmode Response Levels 4
Weight Variable None Populations 414
Data Set STUDENTS Total Frequency 437
Frequency Missing 0 Observations 437
Maximum Likelihood Analysis
Maximum likelihood computations converged.
Maximum Likelihood Analysis of Variance
Source DF Chi-Square Pr > ChiSq
--------------------------------------------------
Intercept 3 15.91 0.0012
income 3 45.72 <.0001
age 3 14.66 0.0021
male 3 4.73 0.1927
Likelihood Ratio 1E3 778.33 1.0000
Analysis of Maximum Likelihood Estimates
Function Standard Chi-
Parameter Number Estimate Error Square Pr > ChiSq
-------------------------------------------------------------------
Intercept 1 8.3888 2.1358 15.43 <.0001
2 1.4853 2.4309 0.37 0.5412
3 -0.7023 2.4601 0.08 0.7753
income 1 -4.2105 1.0320 16.65 <.0001
2 -0.1925 1.0061 0.04 0.8483
3 4.7406 0.9447 25.18 <.0001
age 1 -0.3457 0.0995 12.07 0.0005
2 -0.1541 0.1132 1.86 0.1731
3 -0.2082 0.1165 3.19 0.0739
male 1 -0.5403 0.2770 3.80 0.0511
2 -0.2820 0.3444 0.67 0.4129
3 -0.3829 0.3490 1.20 0.2726
6.3 Multinomial Logit in LIMDEP (Mlogit$)
MLOGIT;
Lhs=transmod;
Rhs=ONE,income,age,male$
LOGIT;
Lhs=transmod;
Rhs=ONE,income,age,male$
+---------------------------------------------+
| Multinomial Logit Model |
| Maximum Likelihood Estimates |
| Model estimated: Sep 19, 2005 at 09:19:23AM.|
| Dependent variable TRANSMOD |
| Weighting variable None |
| Number of observations 437 |
| Iterations completed 6 |
| Log likelihood function -406.3251 |
| Restricted log likelihood -444.8411 |
| Chi squared 77.03209 |
| Degrees of freedom 9 |
| Prob[ChiSqd > value] = .0000000 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
Characteristics in numerator of Prob[Y = 1]
Constant -6.903472671 2.9767801 -2.319 .0204
INCOME 4.018021309 1.3444306 2.989 .0028 .61683982
AGE .1915916653 .13929281 1.375 .1690 20.691076
MALE .2582886230 .40399708 .639 .5226 .57208238
Characteristics in numerator of Prob[Y = 2]
Constant -9.091051495 3.0881231 -2.944 .0032
INCOME 8.951040805 1.3385396 6.687 .0000 .61683982
AGE .1374996725 .14519378 .947 .3436 20.691076
MALE .1573178944 .41910143 .375 .7074 .57208238
Characteristics in numerator of Prob[Y = 3]
Constant -8.388756169 2.1357918 -3.928 .0001
INCOME 4.210485161 1.0320242 4.080 .0000 .61683982
AGE .3457236198 .99507140E-01 3.474 .0005 20.691076
MALE .5402549359 .27698869 1.950 .0511 .57208238
(Note: E+nn or E-nn means multiply by 10 to + or -nn power.)
+--------------------------------------------------------------------+
| Information Statistics for Discrete Choice Model. |
| M=Model MC=Constants Only M0=No Model |
| Criterion F (log L) -406.32509 -444.84113 -605.81064 |
| LR Statistic vs. MC 77.03209 .00000 .00000 |
| Degrees of Freedom 9.00000 .00000 .00000 |
| Prob. Value for LR .00000 .00000 .00000 |
| Entropy for probs. 406.32509 444.84113 605.81064 |
| Normalized Entropy .67071 .73429 1.00000 |
| Entropy Ratio Stat. 398.97109 321.93900 .00000 |
| Bayes Info Criterion 867.36958 944.40167 1266.34067 |
| BIC - BIC(no model) 398.97109 321.93900 .00000 |
| Pseudo R-squared .08658 .00000 .00000 |
| Pct. Correct Prec. 64.98856 .00000 25.00000 |
| Means: y=0 y=1 y=2 y=3 yu=4 y=5, y=6 y>=7 |
| Outcome .1648 .0892 .0961 .6499 .0000 .0000 .0000 .0000 |
| Pred.Pr .1648 .0892 .0961 .6499 .0000 .0000 .0000 .0000 |
| Notes: Entropy computed as Sum(i)Sum(j)Pfit(i,j)*logPfit(i,j). |
| Normalized entropy is computed against M0. |
| Entropy ratio statistic is computed against M0. |
| BIC = 2*criterion - log(N)*degrees of freedom. |
| If the model has only constants or if it has no constants, |
| the statistics reported here are not useable. |
+--------------------------------------------------------------------+
Frequencies of actual & predicted outcomes
Predicted outcome has maximum probability.
Predicted
------ -------------------- + -----
Actual 0 1 2 3 | Total
------ -------------------- + -----
0 5 0 0 67 | 72
1 0 0 1 38 | 39
2 0 0 1 41 | 42
3 6 0 0 278 | 284
------ -------------------- + -----
Total 11 0 2 424 | 437
NOMREG transmode WITH income age male
/CRITERIA CIN(95) DELTA(0) MXITER(100) MXSTEP(5) CHKSEP(20) LCONVERGE(0)
PCONVERGE(0.000001) SINGULAR(0.00000001)
/MODEL /INTERCEPT INCLUDE /PRINT PARAMETER SUMMARY LRT .
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