Currently I am analyzing a dataset using logistic regression, I ran it in R using the glm function to run a multivariate logistic regression with 12 predictors. Some of these are quite collinear as they resulted from feature engineering. I was thus not really surprised that my algorithm did not converge and turned out NA for some of the engineered features. I proceeded to run it in two parts and report the results in that way.
However, my collaborator wanted to check the results to make sure no error occurred. She prefers using JMP and thus ran it in that software with the built-in analysis available. JMP reported estimates for all parameters without complaining about convergence.
My question is thus, how do I deal with this? Are the parameters estimates obtained sound or might this indicate hidden convergence issues?