[R] Multinomial logistic regression under R and Stata

[ripley@stats.ox.ac.uk]

Perhaps you should ask Stata how it finds its estimates, and why it 
disagrees with R?

R uses the observed information matrix for the standard errors.  It is
also possible to use the expected (Fisher) information matrix.  Where they
differ, the observed one is generally regarded as a better choice,
especially when as here the curvature is measured over a reasonably-sized
neighbourhood.

Intercepts often depend on coding, and you should cross-check the coding.
More generally, such differences can be caused by the Hauck-Donner effect 
and lack of convergence, so it is almost always worth playing with the 
convergence criteria.

On Thu, 27 Mar 2003, Tak Wing Chan wrote:

> Dear Colleagues
> 
> I have been fitting some multinomial logistic regression models using R 
> (version 1.6.1 on a linux box) and Stata 7. Although the vast majority 
> of the parameter estimates and standard errors I get from R are the same 
> as those from Stata (given rounding errors and so on), there are a few 
> estimates for the same model which are quite different. I would be most 
> grateful if colleagues could advise me as to what might be causing this, 
> and should I worry ...
> 
> Anyway, with R, I have been using the function multinom under the 
> package nnet. Below are two examples where the estimates for standard 
> error differ substantially between R and Stata:
> 
>           beta              s.e.
> R:        5.939880 2.920165
> Stata:  5.939747 5.455495
> 
> R:      11.228705 2.191625
> Stata: 11.22761  4.630293
> 
> The parameters concerned are the quadratic term of a quantitative 
> variable (measuring social status). I notice that the s.e. for this 
> quadratic term are large anyway compared to other s.e. in the model.
> 
> There are other differences between R and Stata, and these concerned the 
> intercept terms. Here is an example:
> 
>            beta            s.e.
> R:        0.2870793 0.4512347
> Stata: -0.2109653 0.5053566
> 
> Since both estimates are not significantly different from zero, I trust 
> I can ignore the difference between the estimates. Or could I?
> 
> Many thanks in advance for any help. Please let me know if I should 
> provide further info.
> 
> With best wishes.  
> 
> Wing
>   
> 
> 

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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