[Limdep Nlogit List] R2 Mc Fadden and other R2 in NLOGIT?
RAUX Charles
Charles.Raux at laet.ish-lyon.cnrs.fr
Wed Oct 3 19:50:14 AEST 2018
Hello,
I am running nlogit (MNL nlogit, scaled smnlogit, latent class lclogit) models which give different R2 outputs and I am wondering about the signification of these. I went through the documentation and did not find any suitable answer.
We know that
McFadden's pseudo R2 = 1 - logL/logL0
where L0 stands for all slopes are zero, i.e. model with a constant only.
When estimating an mnl:
|-> nlogit ; choices=air, car, bus, train, none
; lhs=choicem
; model: U(air, car, bus, train) = <asca, ascc, 0, asct>
+ dd * duration + pc * price
/ U(none) = anone
; show model$
...
I get
Discrete choice (multinomial logit) model
Dependent variable Choice
Log likelihood function -1734.80120
Estimation based on N = 1758, K = 6
Inf.Cr.AIC = 3481.6 AIC/N = 1.980
---------------------------------------
Log likelihood R-sqrd R2Adj
Constants only -2159.8972 .1968 .1961
Note: R-sqrd = 1 - logL/Logl(constants)
...
There is no output explicitly named "Mc Fadden pseudo R2".
Is "Constants only" the same as "McFadden Pseudo R-squared"?
When I run smnlogit
|-> smnlogit; choices=air, car, bus, train, none
; lhs=choicem
; model: U(air, car, bus, train) = <asca, ascc, 0, asct>
+ <da, dc, db, dt> * duration + pc * price
/ U(none) = anone
; pds=6; pts=100; halton
; showmodel$
I get
Scaled Multinomial Logit Model
Dependent variable CHOICEM
Log likelihood function -1667.35565
Restricted log likelihood -2829.39185
Chi squared [ 10](P= .000) 2324.07240
Significance level .00000
McFadden Pseudo R-squared .4107018
Estimation based on N = 1758, K = 10
Inf.Cr.AIC = 3354.7 AIC/N = 1.908
---------------------------------------
Log likelihood R-sqrd R2Adj
No coefficients -2829.3919 .4107 .4099
Constants only -2159.8972 .2280 .2269
At start values -1720.2080 .0307 .0293
Note: R-sqrd = 1 - logL/Logl(constants)
...
I see the "McFadden Pseudo R-squared" which has the same value as "No coefficients R2" (.4107) but not the same as "Constants only R2".
Could anybody clarify about these R2?
Thanks
Charles Raux
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