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Very large standard errors

Ask general questions about model specification and estimation that are not Apollo specific but relevant to Apollo users.
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tomas.rossetti
Posts: 18
Joined: 16 Jul 2020, 14:51

Very large standard errors

Post by tomas.rossetti »

Hi,

I'm estimating a multinomial logit model that has many observations per individual (4,303 observations, 46 individuals, 20 alternatives). An extremely simple model (ASCs + one alternative-specific parameter) produces very large robust standard errors. What could be the source of this issue?

Some specifics of the model:
  • Because there are between 350 and 76 observations per individual, I am working in logs.
  • I expect most of these parameters to be non-significant, but these standard errors are a lot bigger than what I would expect.
  • Even though I do get convergence in this model, adding one more alternative-specific parameter produces convergence to a "saddle point," which I thought was impossible for an MNL (shouldn't the likelihood function be concave?)
dpalma
Posts: 190
Joined: 24 Apr 2020, 17:54

Re: Very large standard errors

Post by dpalma »

Hi Tomás,

Could you please share the results and a bit more info on the model and data? When you say an "alternative specific parameter", is that a coefficient for a dummy or a continuous variable? Also, the estimation results would be very helpful.

Cheers
David
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