mlogit not concave when year dummies are included

Mengqian Chen

Join Date: Feb 2020
Posts: 20

mlogit not concave when year dummies are included

02 Nov 2020, 23:10

Dear Statalisters,
I am running a mlogit regression. When I include year dummies in the regression, it shows not concave.

Code:

mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ i.year, base(1) ro

Stata outputs:

Code:

Iteration 0:   log pseudolikelihood = -16695.505  
Iteration 1:   log pseudolikelihood = -16120.661  (not concave)
Iteration 2:   log pseudolikelihood = -13218.799  (not concave)
Iteration 3:   log pseudolikelihood = -12931.311  
Iteration 4:   log pseudolikelihood = -12917.118  (backed up)
Iteration 5:   log pseudolikelihood = -12774.274  
Iteration 6:   log pseudolikelihood = -12763.371  
Iteration 7:   log pseudolikelihood = -12761.987  (not concave)
Iteration 8:   log pseudolikelihood = -12761.728  
Iteration 9:   log pseudolikelihood = -12761.608  
Iteration 10:  log pseudolikelihood = -12761.581  
Iteration 11:  log pseudolikelihood = -12761.575  
Iteration 12:  log pseudolikelihood = -12761.574  (not concave)
Iteration 13:  log pseudolikelihood = -12761.573  (not concave)
Iteration 14:  log pseudolikelihood = -12761.573  
Iteration 15:  log pseudolikelihood = -12761.573  (not concave)
Iteration 16:  log pseudolikelihood = -12761.573  (not concave)
Iteration 17:  log pseudolikelihood = -12761.573  (not concave)
Iteration 18:  log pseudolikelihood = -12761.573  (not concave)
Iteration 19:  log pseudolikelihood = -12761.573  (not concave)
Iteration 20:  log pseudolikelihood = -12761.573  (not concave)
Iteration 21:  log pseudolikelihood = -12761.573  (not concave)
Iteration 22:  log pseudolikelihood = -12761.573  (not concave)

However, when I exclude year dummies, things are well.

Code:

mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ, base(1) ro

Stata results:

Code:

Iteration 0:   log pseudolikelihood = -16695.505  
Iteration 1:   log pseudolikelihood = -16310.622  
Iteration 2:   log pseudolikelihood = -13882.762  
Iteration 3:   log pseudolikelihood =  -13703.73  
Iteration 4:   log pseudolikelihood = -13690.578  
Iteration 5:   log pseudolikelihood = -13689.013  
Iteration 6:   log pseudolikelihood = -13688.706  
Iteration 7:   log pseudolikelihood = -13688.629  
Iteration 8:   log pseudolikelihood = -13688.614  
Iteration 9:   log pseudolikelihood = -13688.612  
Iteration 10:  log pseudolikelihood = -13688.611  
Iteration 11:  log pseudolikelihood = -13688.611  
Iteration 12:  log pseudolikelihood = -13688.611  

Multinomial logistic regression                 Number of obs     =     44,262
                                                Wald chi2(48)     =  173946.46
                                                Prob > chi2       =     0.0000
Log pseudolikelihood = -13688.611               Pseudo R2         =     0.1801

-----------------------------------------------------------------------------------------
                        |               Robust
                 Choice |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
0                       |
                CR_year |  -.1441597   .0604461    -2.38   0.017    -.2626318   -.0256876
               Divdummy |   .6182579   .0850856     7.27   0.000     .4514931    .7850226
           Years_listed |   .0096256   .0049354     1.95   0.051    -.0000477    .0192988
         Pre_return_75d |   -1.99272   .0935092   -21.31   0.000    -2.175994   -1.809445
                    ROA |   1.609626   .0930419    17.30   0.000     1.427267    1.791984
              DebtRatio |  -.7731731   .1748165    -4.42   0.000    -1.115807    -.430539
         TBill_3m_updtd |    .005933   .1013261     0.06   0.953    -.1926624    .2045285
                  Taxes |   7.252417   .7587598     9.56   0.000     5.765275    8.739559
               FirmSize |   .2034862    .020423     9.96   0.000     .1634578    .2435145
                    PPE |  -.4331732   .1469587    -2.95   0.003    -.7212071   -.1451394
        Volatility_200d |   6.063536   1.437402     4.22   0.000     3.246279    8.880792
                     MB |  -.0051315   .0041605    -1.23   0.217    -.0132858    .0030229
           Asset_Growth |  -.2958317   .0539167    -5.49   0.000    -.4015064   -.1901569
         ILLIQ20_priorm |   .9222181   .0892534    10.33   0.000     .7472845    1.097152
ImmediateDepletion_cf~e |  -.4624352   .0577915    -8.00   0.000    -.5757045   -.3491659
                     KZ |  -.0707258   .0344857    -2.05   0.040    -.1383165    -.003135
                  _cons |   2.077838   .1821774    11.41   0.000     1.720777    2.434899
------------------------+----------------------------------------------------------------
1                       |  (base outcome)
------------------------+----------------------------------------------------------------
2                       |
                CR_year |   .1673746   .1038581     1.61   0.107    -.0361835    .3709326
               Divdummy |  -.3154148   .1470183    -2.15   0.032    -.6035655   -.0272642
           Years_listed |   .0491801   .0094194     5.22   0.000     .0307184    .0676419
         Pre_return_75d |  -.4252999    .173124    -2.46   0.014    -.7646167   -.0859831
                    ROA |   .7299756   .2178288     3.35   0.001      .303039    1.156912
              DebtRatio |  -.2366335   .3914757    -0.60   0.546    -1.003912    .5306447
         TBill_3m_updtd |   -.197818   .1412289    -1.40   0.161    -.4746215    .0789855
                  Taxes |   4.576749   1.475215     3.10   0.002     1.685381    7.468118
               FirmSize |   .4797009   .0308001    15.57   0.000     .4193338     .540068
                    PPE |  -.9540304    .243733    -3.91   0.000    -1.431738   -.4763225
        Volatility_200d |   6.617113   2.491034     2.66   0.008     1.734776    11.49945
                     MB |  -.0011262    .008126    -0.14   0.890    -.0170528    .0148004
           Asset_Growth |   .0125875   .0950231     0.13   0.895    -.1736543    .1988294
         ILLIQ20_priorm |  -15.35728   .1064107  -144.32   0.000    -15.56584   -15.14872
ImmediateDepletion_cf~e |  -.3811099   .1048775    -3.63   0.000     -.586666   -.1755538
                     KZ |   .0078681    .086746     0.09   0.928     -.162151    .1778872
                  _cons |  -4.172834   .3111715   -13.41   0.000    -4.782719   -3.562949
------------------------+----------------------------------------------------------------
3                       |
                CR_year |  -.8219941   .1089436    -7.55   0.000     -1.03552   -.6084685
               Divdummy |   .8951427   .1159074     7.72   0.000     .6679684    1.122317
           Years_listed |   .1016542   .0116678     8.71   0.000     .0787858    .1245227
         Pre_return_75d |  -1.825838   .1684105   -10.84   0.000    -2.155916   -1.495759
                    ROA |   2.387836   .3910509     6.11   0.000      1.62139    3.154281
              DebtRatio |   .4445049   .2558736     1.74   0.082    -.0569982     .946008
         TBill_3m_updtd |  -.1245963   .1241685    -1.00   0.316     -.367962    .1187694
                  Taxes |   11.74735   1.296441     9.06   0.000     9.206374    14.28833
               FirmSize |   .9097437   .0279926    32.50   0.000     .8548792    .9646082
                    PPE |   .3893675   .1946646     2.00   0.045      .007832    .7709031
        Volatility_200d |   11.46905   2.438661     4.70   0.000     6.689365    16.24874
                     MB |  -.0122498   .0068993    -1.78   0.076    -.0257722    .0012726
           Asset_Growth |  -.3521222   .1179288    -2.99   0.003    -.5832584   -.1209859
         ILLIQ20_priorm |  -.7383745   .5148807    -1.43   0.152    -1.747522    .2707731
ImmediateDepletion_cf~e |  -.4130614   .0977833    -4.22   0.000    -.6047131   -.2214096
                     KZ |  -.0428539   .0504974    -0.85   0.396     -.141827    .0561191
                  _cons |  -9.009444   .3216375   -28.01   0.000    -9.639842   -8.379046
--

Does it mean I cannot include year dummies in the regression? Could anyone help me with that?
Many thanks.

Tags: logit, mlogit, not concave, regression

Hong Il Yoo

Join Date: Jan 2015

Posts: 292
#2

04 Nov 2020, 04:31

Given a model specification that can be identified & estimated, the -mlogit- likelihood function is meant to be concave. In most cases, you see the series of "not concave" iterations because your independent variables are perfectly collinear. I suggest that you try:

regress Choice Indepvars if Choice == 1 | Choice == 0
regress Choice Indepvars if Choice == 2 | Choice == 0
regress Choice Indepvars if Choice == 3 | Choice == 0

where indepvars refer to the list of your independent variables including year dummies. Of course, output doesn't make much sense but -regress- is pretty good at picking up perfect multicollinearity: I suspect that Stata will omit a few of your Indepvars and allow you to see that indeed your independent variables are perfectly collinear. You should deal with perfect collinearity in the usual manner, i.e., by normalizing your model in a way that you see fit.
Comment

Mengqian Chen

Join Date: Feb 2020
Posts: 20

05 Nov 2020, 00:19

Hi Hong,

Thanks for your suggestions. I tried the -regress- function as you suggested to see if there any collinearity in my independent variables. However, Stata doesn't seem to omit any of the independent variables. Please find codes and outputs below:

Code:

reg Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ i.year if Choice == 1 | Choice == 0
reg Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ i.year if Choice == 2 | Choice == 0
reg Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ i.year if Choice == 3 | Choice == 0

Code:

. reg Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Tax
> es FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exa
> nte KZ i.year if Choice == 1 | Choice == 0

      Source |       SS           df       MS      Number of obs   =    41,694
-------------+----------------------------------   F(36, 41657)    =    105.62
       Model |  133.862328        36  3.71839801   Prob > F        =    0.0000
    Residual |  1466.48806    41,657  .035203881   R-squared       =    0.0836
-------------+----------------------------------   Adj R-squared   =    0.0829
       Total |  1600.35039    41,693   .03838415   Root MSE        =    .18763

-----------------------------------------------------------------------------------------
                 Choice |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
                CR_year |   .0066073   .0021289     3.10   0.002     .0024346      .01078
               Divdummy |  -.0084701   .0024654    -3.44   0.001    -.0133023   -.0036379
           Years_listed |  -.0001557   .0001992    -0.78   0.434    -.0005461    .0002346
         Pre_return_75d |   .0957354   .0033941    28.21   0.000      .089083    .1023879
                    ROA |  -.1425401   .0048435   -29.43   0.000    -.1520335   -.1330467
              DebtRatio |    .027161    .006464     4.20   0.000     .0144915    .0398305
         TBill_3m_updtd |  -.0146677   .0054305    -2.70   0.007    -.0253116   -.0040239
                  Taxes |  -.1094577   .0286157    -3.83   0.000    -.1655451   -.0533703
               FirmSize |  -.0092446   .0007074   -13.07   0.000    -.0106311   -.0078582
                    PPE |   .0162343   .0046938     3.46   0.001     .0070343    .0254343
        Volatility_200d |  -.1263572   .0587688    -2.15   0.032    -.2415453    -.011169
                     MB |   .0005566   .0001923     2.89   0.004     .0001796    .0009335
           Asset_Growth |   .0260044   .0025886    10.05   0.000     .0209308     .031078
         ILLIQ20_priorm |  -.0409194   .0029782   -13.74   0.000    -.0467568    -.035082
ImmediateDepletion_cf~e |   .0185253   .0021797     8.50   0.000      .014253    .0227976
                     KZ |   .0050007   .0011027     4.54   0.000     .0028395     .007162
                        |
                   year |
                  2000  |  -.8887425   .0710782   -12.50   0.000    -1.028057   -.7494278
                  2001  |  -.9017176    .071063   -12.69   0.000    -1.041003   -.7624325
                  2002  |  -.9054044   .0710592   -12.74   0.000    -1.044682   -.7661269
                  2003  |  -.8853299   .0710608   -12.46   0.000    -1.024611   -.7460492
                  2004  |  -.8867757   .0710584   -12.48   0.000    -1.026052   -.7474997
                  2005  |  -.8901602   .0710629   -12.53   0.000    -1.029445   -.7508755
                  2006  |  -.8870116   .0710645   -12.48   0.000    -1.026299   -.7477237
                  2007  |  -.8952981   .0710702   -12.60   0.000    -1.034597    -.755999
                  2008  |  -.9123076   .0710728   -12.84   0.000    -1.051612   -.7730035
                  2009  |  -.8607714   .0710763   -12.11   0.000    -1.000082   -.7214604
                  2010  |  -.8656278   .0710805   -12.18   0.000    -1.004947   -.7263086
                  2011  |  -.8705471   .0710771   -12.25   0.000     -1.00986   -.7312345
                  2012  |  -.8825408   .0711336   -12.41   0.000    -1.021964   -.7431174
                  2013  |  -.8464111   .0711005   -11.90   0.000    -.9857695   -.7070526
                  2014  |  -.8705082   .0710865   -12.25   0.000    -1.009839   -.7311771
                  2015  |  -.8755698   .0711139   -12.31   0.000    -1.014955   -.7361851
                  2016  |  -.8883709    .071086   -12.50   0.000    -1.027701   -.7490409
                  2017  |  -.8683833   .0710786   -12.22   0.000    -1.007699   -.7290678
                  2018  |  -.8781679   .0710784   -12.35   0.000    -1.017483   -.7388527
                  2019  |   -.913523   .0717973   -12.72   0.000    -1.054247   -.7727988
                        |
                  _cons |   .9786023   .0712058    13.74   0.000     .8390374    1.118167
-----------------------------------------------------------------------------------------

. reg Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Tax
> es FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exa
> nte KZ i.year if Choice == 2 | Choice == 0

      Source |       SS           df       MS      Number of obs   =    40,744
-------------+----------------------------------   F(35, 40708)    =     27.04
       Model |  64.0146894        35  1.82899112   Prob > F        =    0.0000
    Residual |  2753.51516    40,708   .06764064   R-squared       =    0.0227
-------------+----------------------------------   Adj R-squared   =    0.0219
       Total |  2817.52984    40,743  .069153716   Root MSE        =    .26008

-----------------------------------------------------------------------------------------
                 Choice |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
                CR_year |   .0123285    .002984     4.13   0.000     .0064798    .0181772
               Divdummy |   -.032885   .0034434    -9.55   0.000    -.0396341   -.0261359
           Years_listed |   .0011222   .0002811     3.99   0.000     .0005712    .0016732
         Pre_return_75d |   .0556836   .0048617    11.45   0.000     .0461545    .0652127
                    ROA |  -.0395728   .0070643    -5.60   0.000    -.0534191   -.0257266
              DebtRatio |   .0421692   .0091006     4.63   0.000     .0243318    .0600067
         TBill_3m_updtd |  -.0366329   .0077838    -4.71   0.000    -.0518892   -.0213766
                  Taxes |   -.111221   .0399804    -2.78   0.005    -.1895835   -.0328586
               FirmSize |   .0114975   .0009888    11.63   0.000     .0095593    .0134356
                    PPE |  -.0235838   .0066142    -3.57   0.000    -.0365478   -.0106198
        Volatility_200d |   -.135916   .0836963    -1.62   0.104    -.2999625    .0281305
                     MB |   .0006351   .0002739     2.32   0.020     .0000982     .001172
           Asset_Growth |   .0182183   .0037094     4.91   0.000     .0109478    .0254887
         ILLIQ20_priorm |  -.0150454   .0042063    -3.58   0.000    -.0232897    -.006801
ImmediateDepletion_cf~e |   .0024929   .0030773     0.81   0.418    -.0035386    .0085244
                     KZ |  -.0011567    .001555    -0.74   0.457    -.0042045     .001891
                        |
                   year |
                  2001  |   .0208034   .0079986     2.60   0.009     .0051259    .0364809
                  2002  |   .0006568   .0080091     0.08   0.935    -.0150412    .0163548
                  2003  |   .0718132   .0080775     8.89   0.000     .0559811    .0876454
                  2004  |   .0189037   .0080886     2.34   0.019     .0030499    .0347575
                  2005  |  -.0014571   .0081695    -0.18   0.858    -.0174695    .0145553
                  2006  |   .0152095    .008219     1.85   0.064       -.0009    .0313191
                  2007  |   .0110135    .008286     1.33   0.184    -.0052272    .0272542
                  2008  |    -.02635   .0083457    -3.16   0.002    -.0427078   -.0099923
                  2009  |  -.0044864   .0084669    -0.53   0.596    -.0210818     .012109
                  2010  |    -.00637   .0083963    -0.76   0.448    -.0228269    .0100869
                  2011  |   -.010864   .0084579    -1.28   0.199    -.0274417    .0057137
                  2012  |  -.0422415   .0094084    -4.49   0.000    -.0606822   -.0238007
                  2013  |   .0088659    .008864     1.00   0.317    -.0085078    .0262395
                  2014  |     .00013   .0085728     0.02   0.988    -.0166729    .0169329
                  2015  |   -.031416   .0089964    -3.49   0.000    -.0490492   -.0137828
                  2016  |  -.0184383   .0085151    -2.17   0.030     -.035128   -.0017485
                  2017  |  -.0380155   .0083913    -4.53   0.000    -.0544626   -.0215684
                  2018  |  -.0335722   .0083826    -4.00   0.000    -.0500023   -.0171421
                  2019  |   -.043126   .0163092    -2.64   0.008    -.0750924   -.0111596
                        |
                  _cons |  -.0245152   .0110124    -2.23   0.026    -.0460997   -.0029307
-----------------------------------------------------------------------------------------

. reg Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Tax
> es FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exa
> nte KZ i.year if Choice == 3 | Choice == 0

      Source |       SS           df       MS      Number of obs   =    41,374
-------------+----------------------------------   F(36, 41337)    =    122.17
       Model |  1127.87977        36  31.3299937   Prob > F        =    0.0000
    Residual |  10600.4356    41,337  .256439403   R-squared       =    0.0962
-------------+----------------------------------   Adj R-squared   =    0.0954
       Total |  11728.3154    41,373  .283477519   Root MSE        =     .5064

-----------------------------------------------------------------------------------------
                 Choice |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
                CR_year |  -.0296438   .0058099    -5.10   0.000    -.0410312   -.0182563
               Divdummy |   .0299272   .0066531     4.50   0.000      .016887    .0429673
           Years_listed |   .0022262   .0005487     4.06   0.000     .0011508    .0033016
         Pre_return_75d |   .0372112    .009479     3.93   0.000     .0186322    .0557901
                    ROA |  -.1477142   .0137925   -10.71   0.000    -.1747478   -.1206807
              DebtRatio |   .0435058   .0176496     2.46   0.014     .0089123    .0780993
         TBill_3m_updtd |  -.0294155    .014929    -1.97   0.049    -.0586767   -.0001543
                  Taxes |   .0918966   .0777383     1.18   0.237    -.0604722    .2442654
               FirmSize |   .0836812   .0018651    44.87   0.000     .0800255    .0873369
                    PPE |   .0674289   .0126782     5.32   0.000     .0425793    .0922785
        Volatility_200d |  -.5570358   .1617197    -3.44   0.001    -.8740099   -.2400617
                     MB |   .0026474   .0005315     4.98   0.000     .0016056    .0036892
           Asset_Growth |   .0055261   .0072621     0.76   0.447    -.0087077    .0197599
         ILLIQ20_priorm |   .1105215   .0081523    13.56   0.000     .0945429    .1265002
ImmediateDepletion_cf~e |   .0093334   .0059703     1.56   0.118    -.0023685    .0210353
                     KZ |   -.012462   .0030127    -4.14   0.000    -.0183669   -.0065571
                        |
                   year |
                  2000  |  -2.757526   .5065804    -5.44   0.000    -3.750435   -1.764618
                  2001  |  -2.676875   .5065623    -5.28   0.000    -3.669748   -1.684002
                  2002  |  -2.713353   .5065641    -5.36   0.000    -3.706229   -1.720476
                  2003  |  -2.698516   .5065693    -5.33   0.000    -3.691403    -1.70563
                  2004  |  -2.748593   .5065664    -5.43   0.000    -3.741474   -1.755712
                  2005  |  -2.774688   .5065654    -5.48   0.000    -3.767567   -1.781809
                  2006  |  -2.773908   .5065667    -5.48   0.000     -3.76679   -1.781027
                  2007  |  -2.753322   .5065685    -5.44   0.000    -3.746207   -1.760437
                  2008  |  -2.803999   .5065735    -5.54   0.000    -3.796893   -1.811104
                  2009  |  -2.724256   .5065796    -5.38   0.000    -3.717163   -1.731349
                  2010  |  -2.737708    .506586    -5.40   0.000    -3.730627   -1.744788
                  2011  |  -2.802417   .5065851    -5.53   0.000    -3.795335     -1.8095
                  2012  |  -2.832976   .5066381    -5.59   0.000    -3.825998   -1.839955
                  2013  |  -2.914776   .5066106    -5.75   0.000    -3.907744   -1.921809
                  2014  |  -2.928755   .5065906    -5.78   0.000    -3.921683   -1.935827
                  2015  |  -2.956607   .5066166    -5.84   0.000    -3.949586   -1.963627
                  2016  |  -2.902013   .5065849    -5.73   0.000     -3.89493   -1.909096
                  2017  |  -2.919985   .5065803    -5.76   0.000    -3.912893   -1.927076
                  2018  |  -2.944886   .5065791    -5.81   0.000    -3.937792    -1.95198
                  2019  |   -2.95166   .5073079    -5.82   0.000    -3.945994   -1.957325
                        |
                  _cons |   2.332505   .5067982     4.60   0.000     1.339169     3.32584
-

Comment

Hong Il Yoo

Join Date: Jan 2015

Posts: 292
#4

05 Nov 2020, 07:05

Hi Menqian, Thanks. Could you do a couple more checks and let me know what you find?

(1) See if the -mlogit- goes through if 0 is the base category: mlogit Choice indepvars, base(0)

(2) For each year tabulate -tab Choice if year == 2000-, -tab Choice if year == 2001- and so on see if in every year, you have at least one observation in each outcome category.
Comment

Mengqian Chen

Join Date: Feb 2020
Posts: 20

06 Nov 2020, 10:54

Hi Hong,

Thank you.

(1) I tried to change the base category, however, the results show that the variance matrix is nonsymmetric or highly singular

Code:

mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ i.year, base(0) ro

Code:

. mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd 
> Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_
> exante KZ i.year, base(0) ro

Iteration 0:   log pseudolikelihood = -16650.857  
Iteration 1:   log pseudolikelihood = -16052.819  (not concave)
Iteration 2:   log pseudolikelihood = -13174.045  (not concave)
Iteration 3:   log pseudolikelihood = -12885.912  
Iteration 4:   log pseudolikelihood = -12873.297  (backed up)
Iteration 5:   log pseudolikelihood = -12746.788  
Iteration 6:   log pseudolikelihood = -12734.516  
Iteration 7:   log pseudolikelihood = -12733.199  (not concave)
Iteration 8:   log pseudolikelihood = -12732.943  
Iteration 9:   log pseudolikelihood = -12732.829  
Iteration 10:  log pseudolikelihood = -12732.803  
Iteration 11:  log pseudolikelihood = -12732.797  (not concave)
Iteration 12:  log pseudolikelihood = -12732.796  
Iteration 13:  log pseudolikelihood = -12732.796  (not concave)
Iteration 14:  log pseudolikelihood = -12732.796  (not concave)
Iteration 15:  log pseudolikelihood = -12732.796  
Iteration 16:  log pseudolikelihood = -12732.796  
Warning:  variance matrix is nonsymmetric or highly singular

Multinomial logistic regression                 Number of obs     =     43,758
                                                Wald chi2(48)     =          .
                                                Prob > chi2       =          .
Log pseudolikelihood = -12732.796               Pseudo R2         =     0.2353

-----------------------------------------------------------------------------------------
                        |               Robust
                 Choice |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
0                       |  (base outcome)
------------------------+----------------------------------------------------------------
1                       |
                CR_year |    .134332          .        .       .            .           .
               Divdummy |  -.5659745          .        .       .            .           .
           Years_listed |  -.0106568          .        .       .            .           .
         Pre_return_75d |   1.965567          .        .       .            .           .
                    ROA |   -1.52109          .        .       .            .           .
              DebtRatio |   .7282035          .        .       .            .           .
         TBill_3m_updtd |  -.3258905          .        .       .            .           .
                  Taxes |  -6.475081          .        .       .            .           .
               FirmSize |  -.2492168          .        .       .            .           .
                    PPE |   .5205235          .        .       .            .           .
        Volatility_200d |  -4.357732          .        .       .            .           .
                     MB |   .0056795          .        .       .            .           .
           Asset_Growth |   .3666468          .        .       .            .           .
         ILLIQ20_priorm |   -1.03188          .        .       .            .           .
ImmediateDepletion_cf~e |   .4583362          .        .       .            .           .
                     KZ |   .1033231          .        .       .            .           .
                        |
                   year |
                  2000  |  -30.71139          .        .       .            .           .
                  2001  |  -31.00103          .        .       .            .           .
                  2002  |  -30.95151          .        .       .            .           .
                  2003  |  -30.35506          .        .       .            .           .
                  2004  |  -30.49844          .        .       .            .           .
                  2005  |  -30.54881          .        .       .            .           .
                  2006  |  -30.45174          .        .       .            .           .
                  2007  |  -30.73969          .        .       .            .           .
                  2008  |  -31.58342          .        .       .            .           .
                  2009  |  -29.75522          .        .       .            .           .
                  2010  |  -29.98004          .        .       .            .           .
                  2011  |  -30.03584          .        .       .            .           .
                  2012  |  -30.28963          .        .       .            .           .
                  2013  |  -29.48979          .        .       .            .           .
                  2014  |  -30.07625          .        .       .            .           .
                  2015  |  -30.16976          .        .       .            .           .
                  2016  |  -30.51786          .        .       .            .           .
                  2017  |  -29.99129          .        .       .            .           .
                  2018  |  -30.31469          .        .       .            .           .
                  2019  |  -48.51509          .        .       .            .           .
                        |
                  _cons |   28.54634          .        .       .            .           .
------------------------+----------------------------------------------------------------
2                       |
                CR_year |   .3233158          .        .       .            .           .
               Divdummy |  -.9243249          .        .       .            .           .
           Years_listed |    .022036          .        .       .            .           .
         Pre_return_75d |   1.683993          .        .       .            .           .
                    ROA |  -.9627655          .        .       .            .           .
              DebtRatio |   .6786806          .        .       .            .           .
         TBill_3m_updtd |  -1.360287          .        .       .            .           .
                  Taxes |  -4.050324          .        .       .            .           .
               FirmSize |   .3439697          .        .       .            .           .
                    PPE |  -.7343452          .        .       .            .           .
        Volatility_200d |  -7.506896          .        .       .            .           .
                     MB |   .0116215          .        .       .            .           .
           Asset_Growth |   .3167673          .        .       .            .           .
         ILLIQ20_priorm |  -17.26948          .        .       .            .           .
ImmediateDepletion_cf~e |   .0761098          .        .       .            .           .
                     KZ |   .0939403          .        .       .            .           .
                        |
                   year |
                  2000  |   .4855655          .        .       .            .           .
                  2001  |   1.083025          .        .       .            .           .
                  2002  |   .6017728          .        .       .            .           .
                  2003  |    1.91657          .        .       .            .           .
                  2004  |   1.038109          .        .       .            .           .
                  2005  |   .5643031          .        .       .            .           .
                  2006  |   .9599046          .        .       .            .           .
                  2007  |   .8431365          .        .       .            .           .
                  2008  |  -.3723074          .        .       .            .           .
                  2009  |    .431701          .        .       .            .           .
                  2010  |   .3465693          .        .       .            .           .
                  2011  |    .239653          .        .       .            .           .
                  2012  |  -1.029876          .        .       .            .           .
                  2013  |   .8764713          .        .       .            .           .
                  2014  |   .5461072          .        .       .            .           .
                  2015  |   -.592109          .        .       .            .           .
                  2016  |  -.1895318          .        .       .            .           .
                  2017  |  -1.308952          .        .       .            .           .
                  2018  |  -.7432591          .        .       .            .           .
                  2019  |  -17.79055          .        .       .            .           .
                        |
                  _cons |  -6.257459          .        .       .            .           .
------------------------+----------------------------------------------------------------
3                       |
                CR_year |  -.5343767          .        .       .            .           .
               Divdummy |   .1148927          .        .       .            .           .
           Years_listed |   .0674364          .        .       .            .           .
         Pre_return_75d |    .535623          .        .       .            .           .
                    ROA |   1.207134          .        .       .            .           .
              DebtRatio |   2.331407          .        .       .            .           .
         TBill_3m_updtd |  -.3605387          .        .       .            .           .
                  Taxes |    .935469          .        .       .            .           .
               FirmSize |   .8624863          .        .       .            .           .
                    PPE |   .5443985          .        .       .            .           .
        Volatility_200d |  -16.23216          .        .       .            .           .
                     MB |   .0032592          .        .       .            .           .
           Asset_Growth |  -.1194466          .        .       .            .           .
         ILLIQ20_priorm |  -1.222524          .        .       .            .           .
ImmediateDepletion_cf~e |   .0015982          .        .       .            .           .
                     KZ |  -.0616439          .        .       .            .           .
                        |
                   year |
                  2000  |  -30.63569          .        .       .            .           .
                  2001  |  -29.64042          .        .       .            .           .
                  2002  |  -29.97058          .        .       .            .           .
                  2003  |  -29.86241          .        .       .            .           .
                  2004  |  -30.46634          .        .       .            .           .
                  2005  |  -30.78688          .        .       .            .           .
                  2006  |  -30.74712          .        .       .            .           .
                  2007  |  -30.50753          .        .       .            .           .
                  2008  |  -31.05149          .        .       .            .           .
                  2009  |  -30.16374          .        .       .            .           .
                  2010  |  -30.22857          .        .       .            .           .
                  2011  |  -31.04479          .        .       .            .           .
                  2012  |  -31.39697          .        .       .            .           .
                  2013  |  -32.97815          .        .       .            .           .
                  2014  |  -33.26413          .        .       .            .           .
                  2015  |  -34.45376          .        .       .            .           .
                  2016  |  -32.63702          .        .       .            .           .
                  2017  |  -33.01671          .        .       .            .           .
                  2018  |  -34.33858          .        .       .            .           .
                  2019  |  -49.40836          .        .       .            .           .
                        |
                  _cons |   19.78573          .        .       .            .           .
-----------------------------------------------------------------------------------------

(2) I used alternative codes to check the year coverage of each category. I did find that the sample period of categories differs.

Code:

ta year if Choice==0
ta year if Choice==1
ta year if Choice==2
ta year if Choice==3

Code:

. ta year if Choice==0

    Curretn |
fiscal year |      Freq.     Percent        Cum.
------------+-----------------------------------
       2000 |      1,935        4.82        4.82
       2001 |      2,270        5.66       10.48
       2002 |      2,357        5.87       16.35
       2003 |      2,199        5.48       21.83
       2004 |      2,208        5.50       27.33
       2005 |      2,227        5.55       32.88
       2006 |      2,182        5.44       38.32
       2007 |      2,118        5.28       43.60
       2008 |      2,161        5.38       48.98
       2009 |      2,031        5.06       54.04
       2010 |      2,013        5.02       59.06
       2011 |      1,983        4.94       64.00
       2012 |      1,954        4.87       68.87
       2013 |      1,931        4.81       73.68
       2014 |      1,927        4.80       78.48
       2015 |      2,011        5.01       83.50
       2016 |      2,116        5.27       88.77
       2017 |      2,086        5.20       93.97
       2018 |      2,122        5.29       99.25
       2019 |        299        0.75      100.00
------------+-----------------------------------
      Total |     40,130      100.00

. ta year if Choice==1

    Curretn |
fiscal year |      Freq.     Percent        Cum.
------------+-----------------------------------
       1999 |          7        0.42        0.42
       2000 |         79        4.74        5.16
       2001 |         60        3.60        8.76
       2002 |         60        3.60       12.36
       2003 |         97        5.82       18.18
       2004 |         88        5.28       23.46
       2005 |         67        4.02       27.47
       2006 |         73        4.38       31.85
       2007 |         58        3.48       35.33
       2008 |         28        1.68       37.01
       2009 |        129        7.74       44.75
       2010 |         99        5.94       50.69
       2011 |         91        5.46       56.15
       2012 |         84        5.04       61.19
       2013 |        127        7.62       68.81
       2014 |         94        5.64       74.45
       2015 |        105        6.30       80.74
       2016 |         76        4.56       85.30
       2017 |        127        7.62       92.92
       2018 |        118        7.08      100.00
------------+-----------------------------------
      Total |      1,667      100.00

. ta year if Choice==2

    Curretn |
fiscal year |      Freq.     Percent        Cum.
------------+-----------------------------------
       2000 |         27        3.77        3.77
       2001 |         57        7.95       11.72
       2002 |         34        4.74       16.46
       2003 |        116       16.18       32.64
       2004 |         61        8.51       41.14
       2005 |         36        5.02       46.16
       2006 |         56        7.81       53.97
       2007 |         54        7.53       61.51
       2008 |         22        3.07       64.57
       2009 |         27        3.77       68.34
       2010 |         26        3.63       71.97
       2011 |         26        3.63       75.59
       2012 |         19        2.65       78.24
       2013 |         38        5.30       83.54
       2014 |         42        5.86       89.40
       2015 |         29        4.04       93.44
       2016 |         23        3.21       96.65
       2017 |          8        1.12       97.77
       2018 |         16        2.23      100.00
------------+-----------------------------------
      Total |        717      100.00

. ta year if Choice==3

    Curretn |
fiscal year |      Freq.     Percent        Cum.
------------+-----------------------------------
       1999 |          1        0.07        0.07
       2000 |         58        4.31        4.38
       2001 |        133        9.87       14.25
       2002 |        104        7.72       21.97
       2003 |        121        8.98       30.96
       2004 |         89        6.61       37.56
       2005 |         82        6.09       43.65
       2006 |         85        6.31       49.96
       2007 |        105        7.80       57.76
       2008 |         78        5.79       63.55
       2009 |        126        9.35       72.90
       2010 |        113        8.39       81.29
       2011 |         78        5.79       87.08
       2012 |         76        5.64       92.72
       2013 |         16        1.19       93.91
       2014 |         15        1.11       95.03
       2015 |          6        0.45       95.47
       2016 |         31        2.30       97.77
       2017 |         23        1.71       99.48
       2018 |          7        0.52      100.00
------------+-----------------------------------
      Total |      1,347      100.00

If I regress the multinomial regression -mlogit- based on the years 2000-2018, the results are valid.

Code:

mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ i.year if year>=2000 & year<=2018, base(1) ro

Code:

. mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd 
> Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_
> exante KZ i.year if year>=2000 & year<=2018, base(1) ro

Iteration 0:   log pseudolikelihood =  -16597.89  
Iteration 1:   log pseudolikelihood = -16021.995  
Iteration 2:   log pseudolikelihood = -13056.861  
Iteration 3:   log pseudolikelihood = -12761.632  
Iteration 4:   log pseudolikelihood = -12735.438  
Iteration 5:   log pseudolikelihood =  -12733.03  
Iteration 6:   log pseudolikelihood = -12732.638  
Iteration 7:   log pseudolikelihood = -12732.567  
Iteration 8:   log pseudolikelihood = -12732.551  
Iteration 9:   log pseudolikelihood = -12732.547  
Iteration 10:  log pseudolikelihood = -12732.547  
Iteration 11:  log pseudolikelihood = -12732.547  
Iteration 12:  log pseudolikelihood = -12732.546  
Iteration 13:  log pseudolikelihood = -12732.546  

Multinomial logistic regression                 Number of obs     =     43,452
                                                Wald chi2(102)    =  179176.11
                                                Prob > chi2       =     0.0000
Log pseudolikelihood = -12732.546               Pseudo R2         =     0.2329

-----------------------------------------------------------------------------------------
                        |               Robust
                 Choice |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
0                       |
                CR_year |    -.13425   .0609264    -2.20   0.028    -.2536636   -.0148364
               Divdummy |    .565663   .0866849     6.53   0.000     .3957637    .7355622
           Years_listed |   .0106594   .0050882     2.09   0.036     .0006867     .020632
         Pre_return_75d |  -1.964841   .0962578   -20.41   0.000    -2.153503   -1.776179
                    ROA |   1.521169     .10003    15.21   0.000     1.325114    1.717224
              DebtRatio |  -.7279315   .1776714    -4.10   0.000    -1.076161   -.3797021
         TBill_3m_updtd |    .325927   .1999716     1.63   0.103      -.06601    .7178641
                  Taxes |   6.473767   .7574551     8.55   0.000     4.989182    7.958351
               FirmSize |   .2490845   .0213141    11.69   0.000     .2073096    .2908594
                    PPE |  -.5202861   .1445578    -3.60   0.000    -.8036141   -.2369581
        Volatility_200d |   4.357072   1.709747     2.55   0.011      1.00603    7.708115
                     MB |  -.0056782    .004227    -1.34   0.179     -.013963    .0026066
           Asset_Growth |  -.3666404   .0554731    -6.61   0.000    -.4753656   -.2579152
         ILLIQ20_priorm |   1.031624   .0898873    11.48   0.000     .8554487      1.2078
ImmediateDepletion_cf~e |  -.4586828   .0587103    -7.81   0.000    -.5737528   -.3436128
                     KZ |  -.1034063   .0359407    -2.88   0.004    -.1738488   -.0329638
                        |
                   year |
                  2001  |   .2896729   .1986272     1.46   0.145    -.0996292    .6789749
                  2002  |   .2401945   .1986005     1.21   0.226    -.1490554    .6294444
                  2003  |  -.3562966    .177302    -2.01   0.044    -.7038021    -.008791
                  2004  |  -.2129318   .1823764    -1.17   0.243    -.5703831    .1445194
                  2005  |  -.1624691   .1927093    -0.84   0.399    -.5401724    .2152341
                  2006  |  -.2595434   .1878097    -1.38   0.167    -.6276437    .1085568
                  2007  |   .0284284   .2006095     0.14   0.887    -.3647591    .4216158
                  2008  |   .8721583   .2487341     3.51   0.000     .3846485    1.359668
                  2009  |  -.9560506   .1797584    -5.32   0.000    -1.308371   -.6037307
                  2010  |  -.7312633   .1775253    -4.12   0.000    -1.079207   -.3833201
                  2011  |  -.6754449   .1834978    -3.68   0.000    -1.035094   -.3157958
                  2012  |  -.4216031   .2328834    -1.81   0.070    -.8780462    .0348401
                  2013  |  -1.221413   .1859008    -6.57   0.000    -1.585772   -.8570542
                  2014  |  -.6349753   .1826144    -3.48   0.001    -.9928929   -.2770577
                  2015  |  -.5414148   .2077377    -2.61   0.009    -.9485733   -.1342564
                  2016  |  -.1933367    .197094    -0.98   0.327    -.5796338    .1929605
                  2017  |  -.7199124   .1699237    -4.24   0.000    -1.052957   -.3868681
                  2018  |  -.3965249   .1746599    -2.27   0.023     -.738852   -.0541978
                        |
                  _cons |   2.165725   .2367986     9.15   0.000     1.701608    2.629842
------------------------+----------------------------------------------------------------
1                       |  (base outcome)
------------------------+----------------------------------------------------------------
2                       |
                CR_year |   .1890664   .1059114     1.79   0.074     -.018516    .3966489
               Divdummy |   -.358675   .1480506    -2.42   0.015    -.6488489   -.0685011
           Years_listed |   .0326958   .0098024     3.34   0.001     .0134834    .0519082
         Pre_return_75d |  -.2808319   .1766028    -1.59   0.112    -.6269671    .0653033
                    ROA |   .5584156   .2241097     2.49   0.013     .1191687    .9976625
              DebtRatio |  -.0492471   .4274856    -0.12   0.908    -.8871036    .7886093
         TBill_3m_updtd |  -1.034358   .4480484    -2.31   0.021    -1.912516   -.1561991
                  Taxes |   2.423378   1.489216     1.63   0.104    -.4954322    5.342188
               FirmSize |   .5930605   .0317194    18.70   0.000     .5308917    .6552294
                    PPE |  -1.254622   .2543723    -4.93   0.000    -1.753183   -.7560617
        Volatility_200d |  -3.149622   3.356663    -0.94   0.348     -9.72856    3.429317
                     MB |   .0059433   .0085772     0.69   0.488    -.0108677    .0227542
           Asset_Growth |  -.0498754   .0982843    -0.51   0.612    -.2425091    .1427583
         ILLIQ20_priorm |  -16.12407   .1109299  -145.35   0.000    -16.34149   -15.90665
ImmediateDepletion_cf~e |   -.382583   .1056059    -3.62   0.000    -.5895668   -.1755992
                     KZ |  -.0094667   .0992022    -0.10   0.924    -.2038995    .1849661
                        |
                   year |
                  2001  |   .8871401   .3029526     2.93   0.003     .2933639    1.480916
                  2002  |    .356398   .3264438     1.09   0.275    -.2834201    .9962162
                  2003  |   1.074699   .2805665     3.83   0.000     .5247986    1.624599
                  2004  |    .339606   .2926549     1.16   0.246     -.233987     .913199
                  2005  |  -.0837384   .3231995    -0.26   0.796    -.7171977    .5497209
                  2006  |   .2147923   .3028946     0.71   0.478    -.3788701    .8084547
                  2007  |   .3859932   .3140157     1.23   0.219    -.2294663    1.001453
                  2008  |   .0142787   .3895692     0.04   0.971    -.7492629    .7778203
                  2009  |  -1.009918   .3387176    -2.98   0.003    -1.673792   -.3460437
                  2010  |  -.8702674   .3302098    -2.64   0.008    -1.517467   -.2230682
                  2011  |  -.9213717     .33255    -2.77   0.006    -1.573158   -.2695857
                  2012  |  -1.937055   .5292304    -3.66   0.000    -2.974327   -.8997823
                  2013  |  -.8305241   .3407009    -2.44   0.015    -1.498286   -.1627627
                  2014  |  -.5744477    .316164    -1.82   0.069    -1.194118    .0452225
                  2015  |  -1.619104   .4277842    -3.78   0.000    -2.457545    -.780662
                  2016  |  -.8684497   .3526704    -2.46   0.014    -1.559671   -.1772283
                  2017  |  -2.514448   .4389084    -5.73   0.000    -3.374693   -1.654204
                  2018  |  -1.625367   .3633181    -4.47   0.000    -2.337457   -.9132765
                        |
                  _cons |  -3.606214   .4185371    -8.62   0.000    -4.426531   -2.785896
------------------------+----------------------------------------------------------------
3                       |
                CR_year |  -.6683929    .113648    -5.88   0.000    -.8911389   -.4456469
               Divdummy |   .6804104   .1198543     5.68   0.000     .4455003    .9153205
           Years_listed |    .078099   .0129617     6.03   0.000     .0526945    .1035035
         Pre_return_75d |  -1.426895   .1777918    -8.03   0.000     -1.77536   -1.078429
                    ROA |    2.72757   .4906767     5.56   0.000     1.765862    3.689279
              DebtRatio |   1.603146   .2698829     5.94   0.000     1.074185    2.132107
         TBill_3m_updtd |  -.0345703    .323704    -0.11   0.915    -.6690185    .5998779
                  Taxes |   7.404557   1.527462     4.85   0.000     4.410786    10.39833
               FirmSize |   1.111431   .0304483    36.50   0.000     1.051753    1.171108
                    PPE |   .0242456   .2076527     0.12   0.907    -.3827463    .4312375
        Volatility_200d |  -11.86231   3.581668    -3.31   0.001    -18.88225   -4.842369
                     MB |  -.0024152   .0072113    -0.33   0.738    -.0165491    .0117187
           Asset_Growth |   -.485943   .1284561    -3.78   0.000    -.7377123   -.2341736
         ILLIQ20_priorm |  -.1914892   .5161214    -0.37   0.711    -1.203069    .8200901
ImmediateDepletion_cf~e |  -.4577849   .1023361    -4.47   0.000      -.65836   -.2572099
                     KZ |   -.165225   .0532399    -3.10   0.002    -.2695732   -.0608767
                        |
                   year |
                  2001  |   1.284766   .2688893     4.78   0.000     .7577521    1.811779
                  2002  |   .9050669   .2752638     3.29   0.001     .3655596    1.444574
                  2003  |   .4168036   .2595738     1.61   0.108    -.0919518    .9255589
                  2004  |  -.0436132   .2710922    -0.16   0.872    -.5749441    .4877176
                  2005  |  -.3137906   .2801499    -1.12   0.263    -.8628743    .2352932
                  2006  |  -.3710803   .2694062    -1.38   0.168    -.8991066    .1569461
                  2007  |   .1564491    .275038     0.57   0.569    -.3826156    .6955138
                  2008  |   .4561961   .3195162     1.43   0.153    -.1700441    1.082436
                  2009  |  -.4843084   .2580372    -1.88   0.061    -.9900519    .0214352
                  2010  |  -.3244043   .2577462    -1.26   0.208    -.8295776     .180769
                  2011  |  -1.084684   .2676499    -4.05   0.000    -1.609269   -.5601003
                  2012  |  -1.182958   .3551874    -3.33   0.001    -1.879113   -.4868037
                  2013  |  -3.563946   .3760253    -9.48   0.000    -4.300942    -2.82695
                  2014  |  -3.263373   .3570197    -9.14   0.000    -3.963119   -2.563628
                  2015  |  -4.359456   .5186385    -8.41   0.000    -5.375969   -3.342943
                  2016  |  -2.194618   .3169739    -6.92   0.000    -2.815875    -1.57336
                  2017  |  -3.100856   .3156088    -9.82   0.000    -3.719438   -2.482274
                  2018  |  -4.099346   .4533686    -9.04   0.000    -4.987932    -3.21076
                        |
                  _cons |  -8.682792   .4309403   -20.15   0.000    -9.527419   -7.838164

Thanks a lot for your kind help.

Comment

Hong Il Yoo

Join Date: Jan 2015

Posts: 292
#6

06 Nov 2020, 13:55

My suggestion is then you estimate your time dummies specification over 2000-2018 rather than 1999-2018. What you are experiencing is a perfect predictor problem. Note that if year is 1999, you know for sure that the outcome is neither 0 nor 2. ASCs for those two categories are negative infinity in year 1999.
Comment
Mengqian Chen

Join Date: Feb 2020

Posts: 20
#7

06 Nov 2020, 20:31

Thank you for helping me find the problem. I'll restrict the sample to 2000-2018.
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mlogit not concave when year dummies are included

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