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AnnotatedStataOutput:MultinomialLogisticRegression

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MultinomialLogisticRegression
Thispageshowsanexampleofanmultinomiallogisticregressionanalysiswithfootnotesexplainingtheoutput.Thedatawerecollectedon200highschool
studentsandarescoresonvarioustests,includingscience,math,readingandsocialstudies.Theoutcomemeasureinthisanalysisissocioeconomicstatus
(ses)low,mediumandhighfromwhichwearegoingtoseewhatrelationshipsexistswithsciencetestscores(science),socialsciencetestscores(socst)
andgender(female).Ourresponsevariable,ses,isgoingtobetreatedascategoricalundertheassumptionthatthelevelsofsesstatushavenonatural
orderingandwearegoingtoallowStatatochoosethereferentgroup,middleses.Thefirsthalfofthispageinterpretsthecoefficientsintermsof
multinomiallogodds(logits)andthesecondhalfinterpretsthecoefficientsintermsofrelativeriskratios.

usehttp://www.ats.ucla.edu/stat/data/hsb2,clear
mlogitsessciencesocstfemale
Iteration0:loglikelihood=210.58254
Iteration1:loglikelihood=194.75041
Iteration2:loglikelihood=194.03782
Iteration3:loglikelihood=194.03485
Iteration4:loglikelihood=194.03485
MultinomiallogisticregressionNumberofobs=200
LRchi2(6)=33.10
Prob>chi2=0.0000
Loglikelihood=194.03485PseudoR2=0.0786

ses|Coef.Std.Err.zP>|z|[95%Conf.Interval]
+
low|
science|.0235647.02097471.120.261.0646744.017545
socst|.0389243.01951651.990.046.0771759.0006726
female|.8166202.39098132.090.037.0503111.582929
_cons|1.9122561.1272561.700.090.29712584.121638
+
high|
science|.022922.02087181.100.272.0179861.0638301
socst|.0430036.01988942.160.031.0040211.081986
female|.032862.35001530.090.925.7188793.6531553
_cons|4.0573231.2229393.320.0016.454241.660407

(ses==middleisthebaseoutcome)

IterationLoga
Iteration0:loglikelihood=210.58254
Iteration1:loglikelihood=194.75041
Iteration2:loglikelihood=194.03782
Iteration3:loglikelihood=194.03485
Iteration4:loglikelihood=194.03485
a.Thisisalistingoftheloglikelihoodsateachiteration.Rememberthatmultinomiallogisticregression,likebinaryandorderedlogisticregression,uses
maximumlikelihoodestimation,whichisaniterativeprocedure.Thefirstiteration(callediteration0)istheloglikelihoodofthe"null"or"empty"modelthat
is,amodelwithnopredictors.Atthenextiteration,thepredictor(s)areincludedinthemodel.Ateachiteration,theloglikelihooddecreasesbecausethe
goalistominimizetheloglikelihood.Whenthedifferencebetweensuccessiveiterationsisverysmall,themodelissaidtohave"converged",theiterating
stops,andtheresultsaredisplayed.Formoreinformationonthisprocessforbinaryoutcomes,seeRegressionModelsforCategoricalandLimited
DependentVariablesbyJ.ScottLong(page5261).

ModelSummary
MultinomiallogisticregressionNumberofobsc=200
LRchi2(6)d=33.10
Prob>chi2e=0.0000
Loglikelihood=194.03485bPseudoR2f=0.0786
b.LogLikelihoodThisistheloglikelihoodofthefittedmodel.ItisusedintheLikelihoodRatioChiSquaretestofwhetherallpredictors'regression
coefficientsinthemodelaresimultaneouslyzeroandintestsofnestedmodels.
c.NumberofobsThisisthenumberofobservationsusedinthemultinomiallogisticregression.Itmaybelessthanthenumberofcasesinthedatasetif
therearemissingvaluesforsomevariablesintheequation.Bydefault,Statadoesalistwisedeletionofincompletecases.

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d.LRchi2(6)ThisistheLikelihoodRatio(LR)ChiSquaretestthatforbothequations(lowsesrelativetomiddlesesandhighsesrelativetomiddleses)
atleastoneofthepredictors'regressioncoefficientisnotequaltozero.ThenumberintheparenthesesindicatesthedegreesoffreedomoftheChiSquare
distributionusedtotesttheLRChiSquarestatisticandisdefinedbythenumberofmodelsestimated(2)timesthenumberofpredictorsinthemodel(3).
TheLRChiSquarestatisticcanbecalculatedby2*(L(nullmodel)L(fittedmodel))=2*((210.583)(194.035))=33.096,whereL(nullmodel)isfromthe
loglikelihoodwithjusttheresponsevariableinthemodel(Iteration0)andL(fittedmodel)istheloglikelihoodfromthefinaliteration(assumingthemodel
converged)withalltheparameters.
e.Prob>chi2ThisistheprobabilityofgettingaLRteststatisticasextremeas,ormoreso,thantheobservedunderthenullhypothesisthenull
hypothesisisthatalloftheregressioncoefficientsacrossbothmodelsaresimultaneouslyequaltozero.Inotherwords,thisistheprobabilityofobtaining
thischisquarestatistic(33.10)ifthereisinfactnoeffectofthepredictorvariables.Thispvalueiscomparedtoaspecifiedalphalevel,ourwillingnessto
acceptatypeIerror,whichistypicallysetat0.05or0.01.ThesmallpvaluefromtheLRtest,<0.00001,wouldleadustoconcludethatatleastoneofthe
regressioncoefficientsinthemodelisnotequaltozero.TheparameteroftheChiSquaredistributionusedtotestthenullhypothesisisdefinedbythe
degreesoffreedominthepriorline,chi2(6).
f.PseudoR2ThisisMcFadden'spseudoRsquared.LogisticregressiondoesnothaveanequivalenttotheRsquaredthatisfoundinOLSregression
however,manypeoplehavetriedtocomeupwithone.ThereareawidevarietyofpseudoRsquarestatistics.Becausethisstatisticdoesnotmeanwhat
RsquaremeansinOLSregression(theproportionofvariancefortheresponsevariableexplainedbythepredictors),wesuggestinterpretingthisstatistic
withgreatcaution.

ParameterEstimates

sesg|Coef.hStd.Err.jzkP>|z|k[95%Conf.Interval]l
+
low|
science|.0235647.02097471.120.261.0646744.017545
socst|.0389243.01951651.990.046.0771759.0006726
female|.8166202.39098132.090.037.0503111.582929
_cons|1.9122561.1272561.700.090.29712584.121638
+
high|
science|.022922.02087181.100.272.0179861.0638301
socst|.0430036.01988942.160.031.0040211.081986
female|.032862.35001530.090.925.7188793.6531553
_cons|4.0573231.2229393.320.0016.454241.660407

(ses==middleisthebaseoutcome)i
g.sesThisistheresponsevariableinthemultinomiallogisticregression.Underneathsesaretworeplicatesofthepredictorvariables,representingthe
twomodelsthatareestimated:lowsesrelativetomiddlesesandhighsesrelativetomiddleses.
handi.Coef.andreferentgroupThesearetheestimatedmultinomiallogisticregressioncoefficientsandthereferentlevel,respectively,forthemodel.
Animportantfeatureofthemultinomiallogitmodelisthatitestimatesk1models,wherekisthenumberoflevelsofthedependentvariable.Inthis
instance,Stata,bydefault,setmiddlesesasthereferentgroupandthereforeestimatedamodelforlowsesrelativetomiddlesesandamodelforhigh
sesrelativetomiddleses.Therefore,sincetheparameterestimatesarerelativetothereferentgroup,thestandardinterpretationofthemultinomiallogitis
thatforaunitchangeinthepredictorvariable,thelogitofoutcomemrelativetothereferentgroupisexpectedtochangebyitsrespectiveparameter
estimategiventhevariablesinthemodelareheldconstant.
lowsesrelativetomiddleses
scienceThisisthemultinomiallogitestimateforaoneunitincreaseinsciencetestscoreforlowsesrelativetomiddlesesgiventheothervariables
inthemodelareheldconstant.Ifasubjectweretoincreasehissciencetestscorebyonepoint,themultinomiallogoddsforlowsesrelativetomiddleses
wouldbeexpectedtodecreaseby0.024unitwhileholdingallothervariablesinthemodelconstant.
socstThisisthemultinomiallogitestimateforaoneunitincreaseinsocsttestscoreforlowsesrelativetomiddlesesgiventheothervariablesinthe
modelareheldconstant.Ifasubjectweretoincreasehissocsttestscorebyonepoint,themultinomiallogoddsforlowsesrelativetomiddleseswould
beexpectedtodecreaseby0.039unitwhileholdingallothervariablesinthemodelconstant.
femaleThisisthemultinomiallogitestimatecomparingfemalestomalesforlowsesrelativetomiddlesesgiventheothervariablesinthemodelare
heldconstant.Themultinomiallogitforfemalesrelativetomalesis0.817unithigherforbeinginlowsesrelativetomiddlesesgivenallotherpredictor
variablesinthemodelareheldconstant.
_consThisisthemultinomiallogitestimateforlowsesrelativetomiddleseswhenthepredictorvariablesinthemodelareevaluatedatzero.For
males(thevariablefemaleevaluatedatzero)withzeroscienceandsocsttestscores,thelogitforbeinginlowsesversusmiddlesesis1.912.Note,
evaluatingscienceandsocstatzeroisoutoftherangeofplausibletestscoresandifthetestscoresweremeancentered,theinterceptwouldhavea
naturalinterpretation:logoddsofbeinginlowsesversusmiddlesesforamalewithaveragescienceandsocsttestscore.
highsesrelativetomiddleses
scienceThisisthemultinomiallogitestimateforaoneunitincreaseinsciencetestscoreforhighsesrelativetomiddlesesgiventheothervariables
inthemodelareheldconstant.Ifasubjectweretoincreasehissciencetestscorebyonepoint,themultinomiallogoddsforhighsesrelativetomiddle
seswouldbeexpectedtoincreaseby0.023unitwhileholdingallothervariablesinthemodelconstant.
socstThisisthemultinomiallogitestimateforaoneunitincreaseinsocsttestscoreforhighsesrelativetomiddlesesgiventheothervariablesinthe
modelareheldconstant.Ifasubjectweretoincreasehissocsttestscorebyonepoint,themultinomiallogoddsforhighsesrelativetomiddleseswould
beexpectedtoincreaseby0.043unitwhileholdingallothervariablesinthemodelconstant.
femaleThisisthemultinomiallogitestimatecomparingfemalestomalesforhighsesrelativetomiddlesesgiventheothervariablesinthemodelare
heldconstant.Themultinomiallogitforfemalesrelativetomalesis0.033unitlowerforbeinginhighsesrelativetomiddlesesgivenallotherpredictor
variablesinthemodelareheldconstant.
_consThisisthemultinomiallogitestimateforhighsesrelativetomiddleseswhenthepredictorvariablesinthemodelareevaluatedatzero.For
males(thevariablefemaleevaluatedatzero)withzeroscienceandsocsttestscores,thelogitforbeinginhighsesrelativetomiddlesesis4.057.
j.Std.Err.Thesearethestandarderrorsoftheindividualregressioncoefficientsforthetworespectivemodelsestimated.Theyareusedinboththe
calculationofthezteststatistic,superscriptk,andtheconfidenceintervaloftheregressioncoefficient,superscriptl.
k.zandP>|z|Thesearetheteststatisticsandpvalue,respectively,thatwithinagivenmodelthenullhypothesisthatanindividualpredictor'sregression
coefficientiszerogiventhattherestofthepredictorsareinthemodel.TheteststatisticzistheratiooftheCoef.totheStd.Err.oftherespective
predictor.ThezvaluefollowsastandardnormaldistributionwhichisusedtotestagainstatwosidedalternativehypothesisthattheCoef.isnotequalto
zero.Theprobabilitythataparticularzteststatisticisasextremeas,ormoreso,thanwhathasbeenobservedunderthenullhypothesisisdefinedby
P>|z|.Theinterpretationoftheparameterestimates'significanceislimitedonlytothefirstequation,lowsesrelativetomiddleses.Theinterpretation
forthesecondmodel,highsesrelativetomiddleses,naturallyfallsoutofthefirstequationsinterpretation.

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Forlowsesrelativetomiddleses,thezteststatisticforthepredictorscience(0.024/0.021)is1.12withanassociatedpvalueof0.261.Ifwesetour
alphalevelto0.05,wewouldfailtorejectthenullhypothesisandconcludethatforlowsesrelativetomiddleses,theregressioncoefficientforsciencehas
notbeenfoundtobestatisticallydifferentfromzerogivensocstandfemaleareinthemodel.
Forlowsesrelativetomiddleses,thezteststatisticforthepredictorsocst(0.039/0.020)is1.99withanassociatedpvalueof0.046.Ifweagainset
ouralphalevelto0.05,wewouldrejectthenullhypothesisandconcludethattheregressioncoefficientforsocsthasbeenfoundtobestatisticallydifferent
fromzeroforlowsesrelativetomiddlesesgiventhatscienceandfemaleareinthemodel.
Forlowsesrelativetomiddleses,thezteststatisticforthepredictorfemale(0.817/0.391)is2.09withanassociatedpvalueof0.037.Ifweagainset
ouralphalevelto0.05,wewouldrejectthenullhypothesisandconcludethatthedifferencebetweenmalesandfemaleshasbeenfoundtobestatistically
differentforlowsesrelativetomiddlesesgiventhatscienceandfemaleareinthemodel.
Forlowsesrelativetomiddleses,thezteststatisticfortheintercept,_cons(1.912/1.129)is1.70withanassociatedpvalueof0.090.Withanalpha
levelof0.05,wewouldfailtorejectthenullhypothesisandconclude,a)thatthemultinomiallogitformales(thevariablefemaleevaluatedatzero)andwith
zeroscienceandsocsttestscoresinlowsesrelativetomiddlesesarefoundnottobestatisticallydifferentfromzeroorb)formaleswithzeroscience
andsocsttestscores,youarestatisticallyuncertainwhethertheyaremorelikelytobeclassifiedaslowsesormiddleses.Wecanmakethesecond
interpretationwhenweviewthe_consasaspecificcovariateprofile(maleswithzeroscienceandsocsttestscores).Basedonthedirectionand
significanceofthecoefficient,the_constellswhethertheprofilewouldhaveagreaterpropensitytofallinoneofthelevelsofthedependentvariable.
l.[95%Conf.Interval]ThisistheConfidenceInterval(CI)foranindividualmultinomiallogitregressioncoefficientgiventheotherpredictorsareinthe
modelforoutcomemrelativetothereferentgroup.Foragivenpredictorwithalevelof95%confidence,we'dsaythatweare95%confidentthatthe"true"
populationmultinomiallogitregressioncoefficientliesbetweenthelowerandupperlimitoftheintervalforoutcomemrelativetothereferentgroup.Itis
calculatedastheCoef.(z/2)*(Std.Err.),wherez/2isacriticalvalueonthestandardnormaldistribution.TheCIisequivalenttothezteststatistic:ifthe
CIincludeszero,we'dfailtorejectthenullhypothesisthataparticularregressioncoefficientiszerogiventheotherpredictorsareinthemodel.An
advantageofaCIisthatitisillustrativeitprovidesarangewherethe"true"parametermaylie.

RelativeRiskRatioInterpretation
Thefollowingistheinterpretationofthemultinomiallogisticregressionintermsofrelativeriskratiosandcanbeobtainedbymlogit,rrrafterrunningthe
multinomiallogitmodelorbyspecifyingtherrroptionwhenthefullmodelisspecified.Thispartoftheinterpretationappliestotheoutputbelow.

mlogitsessciencesocstfemale,rrr
Iteration0:loglikelihood=210.58254
Iteration1:loglikelihood=194.75041
Iteration2:loglikelihood=194.03782
Iteration3:loglikelihood=194.03485
Iteration4:loglikelihood=194.03485
MultinomiallogisticregressionNumberofobs=200
LRchi2(6)=33.10
Prob>chi2=0.0000
Loglikelihood=194.03485PseudoR2=0.0786

ses|RRRaStd.Err.zP>|z|[95%Conf.Interval]b
+
low|
science|.9767108.02048621.120.261.93737261.0177
socst|.9618236.01877141.990.046.925727.9993276
female|2.262839.88472762.090.0371.0515984.869199
+
high|
science|1.023187.02135581.100.272.98217471.065911
socst|1.043942.02076332.160.0311.0040291.085441
female|.9676721.33870.090.925.48729811.921595

(ses==middleisthebaseoutcome)
a.RelativeRiskRatioThesearetherelativeriskratiosforthemultinomiallogitmodelshownearlier.Theycanbeobtainedbyexponentiatingthe
multinomiallogitcoefficients,ecoef.,orbyspecifyingtherrroption.Recallthatthemultinomiallogitmodelestimatesk1models,wherethekthequationis
relativetothereferentgroup.Ifthemodelwastobewrittenoutinanexponentiatedformwherethepredictorofinterestisevaluatedatx+andatxfor
outcomemrelativetoreferentgroup,whereisthechangeinthepredictorweareinterestedin(istraditionallyissettoone)whiletheothervariablesin
themodelareheldconstant.Ifwethentaketheirratio,theratiowouldreducetotheratiooftwoprobabilities,therelativerisk.Inthissense,the
exponentiatedmultinomiallogitcoefficientprovidesanestimateofrelativerisk.However,theexponentiatedcoefficientarecommonlyinterpretedasodds
ratios.Standardinterpretationoftherelativeriskratiosisforaunitchangeinthepredictorvariable,therelativeriskratioofoutcomemrelativetothe
referentgroupisexpectedtochangebyafactoroftherespectiveparameterestimategiventhevariablesinthemodelareheldconstant.
lowsesrelativetomiddleses
scienceThisistherelativeriskratioforaoneunitincreaseinsciencescoreforlowsesrelativetomiddleseslevelgiventhattheothervariablesinthe
modelareheldconstant.Ifasubjectweretoincreasehersciencetestscorebyoneunit,therelativeriskforlowsesrelativetomiddleseswouldbe
expectedtodecreasebyafactorof0.977giventheothervariablesinthemodelareheldconstant.So,givenaoneunitincreaseinscience,therelativerisk
ofbeinginthelowsesgroupwouldbe0.977timesmorelikelywhentheothervariablesinthemodelareheldconstant.Moregenerally,wecansaythatifa
subjectweretoincreasetheirsciencetestscore,they'dbeexpectedtofallintomiddlesesascomparedtolowses.
socstThisistherelativeriskratioforaoneunitincreaseinsocstscoreforlowsesrelativetomiddleseslevelgiventhattheothervariablesinthe
modelareheldconstant.Ifasubjectweretoincreasehersocsttestscorebyoneunit,therelativeriskforlowsesrelativetomiddleseswouldbeexpected
todecreasebyafactorof0.962giventheothervariablesinthemodelareheldconstant.
femaleThisistherelativeriskratiocomparingfemalestomalesforlowsesrelativetomiddleseslevelgiventhattheothervariablesinthemodelare
heldconstant.Forfemalesrelativetomales,therelativeriskforlowsesrelativetomiddleseswouldbeexpectedtoincreasebyafactorof2.263giventhe
othervariablesinthemodelareheldconstant.
highsesrelativetomiddleses
scienceThisistherelativeriskratioforaoneunitincreaseinsciencescoreforhighsesrelativetomiddleseslevelgiventhattheothervariablesin
themodelareheldconstant.Ifasubjectweretoincreasehersciencetestscorebyoneunit,therelativeriskforhighsesrelativetomiddleseswouldbe
expectedtoincreasebyafactorof1.023giventheothervariablesinthemodelareheldconstant.
socstThisistherelativeriskratioforaoneunitincreaseinsocstscoreforhighsesrelativetomiddleseslevelgiventhattheothervariablesinthe
modelareheldconstant.Ifasubjectweretoincreasetheirsocsttestscorebyoneunit,therelativeriskforhighsesrelativetomiddleseswouldbe

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expectedtoincreasebyafactorof1.043giventheothervariablesinthemodelareheldconstant.
femaleThisistherelativeriskratiocomparingfemalestomalesforhighsesrelativetomiddleseslevelgiventhattheothervariablesinthemodelare
heldconstant.Forfemalesrelativetomales,therelativeriskforhighsesrelativetomiddleseswouldbeexpectedtodecreasebyafactorof0.968given
theothervariablesinthemodelareheldconstant.
b.[95%Conf.Interval]ThisistheCIfortherelativeriskratiogiventheotherpredictorsareinthemodel.Foragivenpredictorwithalevelof95%
confidence,we'dsaythatweare95%confidentthatthe"true"populationrelativeriskratiocomparingoutcomemtothereferentgroupliesbetweenthe
lowerandupperlimitoftheinterval.AnadvantageofaCIisthatitisillustrativeitprovidesarangewherethe"true"relativeriskratiomaylie.

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