Very large standard errors
Posted: 22 Feb 2021, 15:03
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:
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?)