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Is it viable to do several binary logistic regressions instead of doing a multinomial regression? From this question: Multinomial logistic regression vs one-vs-rest binary logistic regression I see that the multinomial regression might have lower standard errors.

However, the package I would like to utilize has not been generalized to multinomial regression (ncvreg: http://cran.r-project.org/web/packages/ncvreg/ncvreg.pdf) and so I was wondering if I could simply do several binary logistic regressions instead.

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With a multinomial logit model you impose the constraint that all the predicted probabilities add up to 1. When you use separate binary logit model you can no longer impose that constraint, they are estimated in seperate models after all. So that would be the main difference between these two models.

As you can see in the example below (In Stata, as that is the program I know best), the models tend to be similar but not the same. I would be especially careful about extrapolating predicted probabilities.

// some data preparation
. sysuse nlsw88, clear                                                               
(NLSW, 1988 extract)                                                                 

.                                                                                    
. gen byte occat = cond(occupation < 3                 , 1,      ///                 
>                  cond(inlist(occupation, 5, 6, 8, 13), 2, 3))  ///                 
>                  if !missing(occupation)                                           
(9 missing values generated)                                                         

. label variable occat "occupation in categories"                                    

. label define occat 1 "high"   ///                                                  
>                    2 "middle" ///                                                  
>                    3 "low"                                                         

. label value occat occat                                                            

.                                                                                    
. gen byte middle = (occat == 2) if occat !=1 & !missing(occat)                      
(590 missing values generated)                                                       

. gen byte high   = (occat == 1) if occat !=2 & !missing(occat)                      
(781 missing values generated)                                                       


// a multinomial logit model
. mlogit occat i.race i.collgrad , base(3) nolog                                     

Multinomial logistic regression                   Number of obs   =       2237       
                                                  LR chi2(6)      =     218.82       
                                                  Prob > chi2     =     0.0000       
Log likelihood = -2315.9312                       Pseudo R2       =     0.0451       

-------------------------------------------------------------------------------      
        occat |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]      
--------------+----------------------------------------------------------------      
high          |                                                                      
         race |                                                                      
       black  |  -.4005801   .1421777    -2.82   0.005    -.6792433    -.121917      
       other  |   .4588831   .4962591     0.92   0.355    -.5137668    1.431533      
              |                                                                      
     collgrad |                                                                      
college grad  |   1.495019   .1341625    11.14   0.000     1.232065    1.757972      
        _cons |  -.7010308   .0705042    -9.94   0.000    -.8392165   -.5628451      
--------------+----------------------------------------------------------------      
middle        |                                                                      
         race |                                                                      
       black  |   .6728568   .1106792     6.08   0.000     .4559296     .889784      
       other  |   .2678372    .509735     0.53   0.599    -.7312251    1.266899      
              |                                                                      
     collgrad |                                                                      
college grad  |    .976244   .1334458     7.32   0.000      .714695    1.237793      
        _cons |   -.517313   .0662238    -7.81   0.000    -.6471092   -.3875168      
--------------+----------------------------------------------------------------      
low           |  (base outcome)                                                      
-------------------------------------------------------------------------------      

// separate logits:
. logit high   i.race i.collgrad , nolog                                             

Logistic regression                               Number of obs   =       1465       
                                                  LR chi2(3)      =     154.21       
                                                  Prob > chi2     =     0.0000       
Log likelihood = -906.79453                       Pseudo R2       =     0.0784       

-------------------------------------------------------------------------------      
         high |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]      
--------------+----------------------------------------------------------------      
         race |                                                                      
       black  |  -.5309439   .1463507    -3.63   0.000     -.817786   -.2441017      
       other  |   .2670161   .5116686     0.52   0.602     -.735836    1.269868      
              |                                                                      
     collgrad |                                                                      
college grad  |   1.525834   .1347081    11.33   0.000     1.261811    1.789857      
        _cons |  -.6808361   .0694323    -9.81   0.000     -.816921   -.5447512      
-------------------------------------------------------------------------------      

. logit middle i.race i.collgrad , nolog                                             

Logistic regression                               Number of obs   =       1656       
                                                  LR chi2(3)      =      90.13       
                                                  Prob > chi2     =     0.0000       
Log likelihood = -1098.9988                       Pseudo R2       =     0.0394       

-------------------------------------------------------------------------------      
       middle |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]      
--------------+----------------------------------------------------------------      
         race |                                                                      
       black  |   .6942945   .1114418     6.23   0.000     .4758725    .9127164      
       other  |   .3492788   .5125802     0.68   0.496    -.6553598    1.353918      
              |                                                                      
     collgrad |                                                                      
college grad  |   .9979952   .1341664     7.44   0.000     .7350339    1.260957      
        _cons |  -.5287625   .0669093    -7.90   0.000    -.6599023   -.3976226      
-------------------------------------------------------------------------------      
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You can try a "one vs. all" approach, where you train a as many binary classifiers as classes you have. For each classifier, the positive samples are the ones belonging to that class, and negative the rest, so that each logistic classifier gives you the conditional probability that a concrete sample belongs to that class.

Now, when classifying, you assign each new sample to the class for which the corresponding classifier gives you the highest probability.

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