Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Fitting the Multinomial model with continuous covariates in GLIM.
AU - Aitkin, Murray
AU - Francis, Brian
PY - 1992/6
Y1 - 1992/6
N2 - A standard method for fitting the multinomial logit model, used in some statistical packages, is to represent it in terms of the equivalent Poisson log-linear model. The constraint necessary for this equivalence requires the inclusion of a set of nuisance parameters in the Poisson model, of dimension equal to the number of distinct values of the set of covariates. In such packages the model is therefore restricted to the analysis of categorical covariates, i.e. contingency tables. This paper describes a method for fitting the multinomial logit model which requires only a simple scoring algorithm, but does not use the equivalent Poisson model, and can be used with continuous covariates with an unlimited number of distinct values. The method is implemented as a set of GLIM macros. An example is discussed.
AB - A standard method for fitting the multinomial logit model, used in some statistical packages, is to represent it in terms of the equivalent Poisson log-linear model. The constraint necessary for this equivalence requires the inclusion of a set of nuisance parameters in the Poisson model, of dimension equal to the number of distinct values of the set of covariates. In such packages the model is therefore restricted to the analysis of categorical covariates, i.e. contingency tables. This paper describes a method for fitting the multinomial logit model which requires only a simple scoring algorithm, but does not use the equivalent Poisson model, and can be used with continuous covariates with an unlimited number of distinct values. The method is implemented as a set of GLIM macros. An example is discussed.
KW - Multinomial logit model
KW - Poisson log-linear model
KW - Continuous covariates
KW - GLIM
U2 - 10.1016/0167-9473(92)90083-R
DO - 10.1016/0167-9473(92)90083-R
M3 - Journal article
VL - 14
SP - 89
EP - 97
JO - Computational Statistics and Data Analysis
JF - Computational Statistics and Data Analysis
SN - 0167-9473
IS - 1
ER -