4.

5 Multinomial Response Models

Consider the following log-linear model,

log ( ij ) = i + x ij , i = 1 , K , n ; j = 1 , K , k

where ij = E Yij , xij are known 1 p covariate vector, is the parameter parameters. Under this model the dimension of the parameter space, n + p , increases as n for fixed p. Consequently maximum-likelihood estimate cannot be guaranteed to be efficient or even consistent in the limit as n . However, the conditional log-likelihood derived of interest and

( )

= (1 , 2 , K, n ) are incidental

below depends only on and not on 1 , 2 , K, n and standard

asymptotic theory applies directly to the conditional likelihood. The log-likelihood is

l Y ( , = =
n

) ( y ij
n k i =1 j =1 k j =1 ij i n

log ( ij ) ij

) )] )
.

[y (
i =1 n

+ x ij
k

) exp (
n

+ x ij
k

i =1

i y i +

i =1

j =1

y ij x ij

i =1
k j =1

j =1

exp ( i + x ij
+ xij

where mi = yi = Then,

y
j =1

ij

. Denote i

= exp (

)=
k j =1

ij

k k lY ( , ) [ yi log( i ) i ] + yij xij yi log exp(xij ) i =1 i =1 j =1 j =1 lY ( ) + lY |Y ( )

n n

where

= (1 , 2 ,K, n ) ,
l Y (

) [y i
i =1

log ( i ) i ]

is the Poisson log-likelihood for based on mi = yi = Yi ~ P( i ) and

l Y |Y ( )

i =1

k k y ij x ij y i log exp (x ij ) j =1 j =1
based on conditional

is the multinomial log-likelihood for

distribution, Yi1 , K, Yik | Yi = mi ~ M(mi , i1 , K, ik ) and where

ij

exp (x ij

j =1

exp (x ij

).
resides on the

Note that all the information concerning

l Y |Y (

).

and Cov In particular,

( )

based on

l Y |Y (

are identical to those based on the full log-likelihood

l Y ( ,

).

Note:
When the parameter of interest is the ratio of Poisson means or, equivalently the value of a Poisson mean as a fraction of the total, it is usually appropriate to condition on the observed total. Conditioning on the total leads to multinomial or binomial response models of the log-linear type.