My dependent variable is
Choice, 0 for non-issuers, 1 for seasoned equity issuers, 2 for convertible issuers and 3 for bond issuers.
I use the following command to run a multinomial logit regression:
mlogit Choice CR $ConVar, base(0)
To test for IIA assumption, I use the following command:
The output is below:
Does this result indicate that IIA is violated?
Then I test the IIA assumption for another multinomial logit regression, in which the dependent variable is
Security (0 for seasoned equity issuers, 1 for convertible issuers, and 2 for bond issuers).
The Stata commands are below:
mlogit Security CR $ConVar, base(0) mlogtest, haus
Output of IIA test is shown below:
Again, does this mean that the IIA assumption is violated?
Could anyone interpret these two results for me? And I am not sure why some categories of dependent variables have negative chi2.