Logit / ms
On Sat, 23 Feb 2002, Paul Johnson wrote:
Thanks for posting this. it is highly instructive!
Can I ask follow ups? I ran this example after getting the bwt data as
illustrated in the example for birthwt in MASS. It runs fine and gives
me the parameter estimates.
Question 1. the estimates are a little different from the glm estimates
obtained. The differences result from a change in optimization routines?
Are these small differences typical?
Here are the logitreg() numbers:
(Intercept) age lwt raceblack raceother smokeTRUE
0.82304295 -0.03723343 -0.01565330 1.19240547 0.74067565 0.75551956
ptdTRUE htTRUE uiTRUE ftv1 ftv2+
1.34374814 1.91317620 0.68020276 -0.43636831 0.17901477
> glm(low ~ . ,binomial, bwt)
Call: glm(formula = low ~ ., family = binomial, data = bwt)
Coefficients:
(Intercept) age lwt raceblack raceother smokeTRUE
0.82271 -0.03722 -0.01565 1.19223 0.74051
0.75537
ptdTRUE htTRUE uiTRUE ftv1 ftv2+
1.34365 1.91297 0.68016 -0.43633 0.17894
Question 2. Then I wondered "how do I do significance tests on those
estimates"? In the glm results, I use summary(). But what of this
logitreg? I figure just to use t tests based on the asymptotic normality
of the b's, so I need standard errors. To get them, it appears to me I
go into the logitreg function, and for optim I insert Hessian=TRUE, and
then I can torture the Hessian to get standard errors.
Question 3. when logitreg prints its output, the only diagnostic
information it gives is:
Residual Deviance: 195.4755
I'm wondering what the user is supposed to conclude from that. Isn't it
the same as -2LL? What benchmark do you use to say it is high or low?
In the olden days of graduate school, they ignore that, and instead look
for -2LLR to test that all the b's are jointly 0.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._