The multinomial logit model is used to study the dependence relationship between a categorical response variable with more than two categories and a set of explicative variables. In presence of multicollinearity, the estimation of the multinomial logit model parameters becomes inaccurate. To solve this problem we develop an extension of principal component logistic regression. Finally a simulation study illustrates the advantages of the method.
Estimating multinomial logit model with multicollinear data
CAMMINATIELLO, Ida;
2010
Abstract
The multinomial logit model is used to study the dependence relationship between a categorical response variable with more than two categories and a set of explicative variables. In presence of multicollinearity, the estimation of the multinomial logit model parameters becomes inaccurate. To solve this problem we develop an extension of principal component logistic regression. Finally a simulation study illustrates the advantages of the method.File in questo prodotto:
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