multinomial logistic regression in R: multinom in nnet package result different from mlogit in mlogit package?

Question

Both R functions, multinom (package nnet) and mlogit (package mlogit) can be used for multinomial logistic regression. But why this example returns different result of p values of coefficients?

#prepare data

mydata <- read.csv("http://www.ats.ucla.edu/stat/data/binary.csv")
mydata$rank <- factor(mydata$rank)
mydata$gre[1:10] = rnorm(10,mean=80000)

#multinom:

test = multinom(admit ~ gre + gpa + rank, data = mydata)
z <- summary(test)$coefficients/summary(test)$standard.errors
# For simplicity, use z-test to approximate t test.
pv <- (1 - pnorm(abs(z)))*2 
pv
# (Intercept)         gre         gpa       rank2       rank3       rank4 
# 0.00000000  0.04640089  0.00000000  0.00000000  0.00000000  0.00000000

#mlogit:

mldata = mlogit.data(mydata,choice = 'admit', shape = "wide")

mlogit.model1 <- mlogit(admit ~ 1 | gre + gpa + rank, data = mldata)
summary(mlogit.model1)
# Coefficients :
#   Estimate  Std. Error t-value  Pr(>|t|)    
# 1:(intercept) -3.5826e+00  1.1135e+00 -3.2175 0.0012930 ** 
#   1:gre          1.7353e-05  8.7528e-06  1.9825 0.0474225 *  
#   1:gpa          1.0727e+00  3.1371e-01  3.4195 0.0006274 ***
#   1:rank2       -6.7122e-01  3.1574e-01 -2.1258 0.0335180 *  
#   1:rank3       -1.4014e+00  3.4435e-01 -4.0697 4.707e-05 ***
#   1:rank4       -1.6066e+00  4.1749e-01 -3.8482 0.0001190 ***

Why the p values from multinorm and mlogit are so different? I guess it is because of the outliers I added using mydata$gre[1:10] = rnorm(10,mean=80000). If outlier is an inevitable issue (for example in genomics, metabolomics, etc.), which R function should I use?

Why are you estimating a multinomial model when the response is dichotomous? If you estimate a simple logistic GLM, you get the same result as mlogit: summary(glm(admit ~ gre + gpa + rank, data = mydata, family=binomial)). — Jason Morgan
hi @JasonMorgan, to my understanding, multinomial logistic regression is an extension of bionomial logistic regression. Thus it should work to use multinomial procedure to deal with dichotomous dependent variable. In this question, I aim to find out the reason why two R functions for multinomial procedures gives two different result, using a same set of samples (although the samples have a dichotomous outcome). — WCMC
If you scale your data, as suggested by the nnet function, you get the same standard errors. — Jason Morgan

Richard Border Richard Border · Accepted Answer · 2017-02-04T17:43:46

The difference here is the difference between the Wald $z$ test (what you calculated in pv) and the Likelihood Ratio test (what is returned by summary(mlogit.model). The Wald test is computationally simpler, but in general has less desirable properties (e.g., its CIs are not scale-invariant). You can read more about the two procedures here.

To perform LR tests on your nnet model coefficents, you can load the car and lmtest packages and call Anova(test) (though you'll have to do a little more work for the single df tests).

multinomial logistic regression in R: multinom in nnet package result different from mlogit in mlogit package?

2 Answers