Bias reduction using Firth's penalized likelihood technique6 months ago
Application of the technique to conditional and baseline logit models | In case of the models supported by the mclogit package, the difference betweenFirth's PML technique and conventional ML estimation is that it solves for eachcoefficient $\alpha_q$ the modified gradient equation$$0 | U^*(\alpha_q) | \frac{\partial\ell}{\partial\alpha_q}+\frac12\mathrm{tr}\left((\boldsymbol{X}'\boldsymbol{W}\boldsymbol{X})^{-1}\boldsymbol{X}'\frac{\partial\boldsymbol{W}}{\partial\alpha_q}\boldsymbol{X}\right)$$instead of$$0 | U(\alpha_q) | Like the conventional MLE, the mclogit package uses an IWLS-algorithm,however, using a modified working response vector with elements$$y_{ij}^* | \boldsymbol{x}{ij}'\boldsymbol{\alpha} +\frac{y{ij}-\pi_{ij}}{\pi_{ij}}+\frac12\sum_r\sum_s\zeta_{ij,rs}I^{(r,s)}$$where $I^{(r,s)}$ is the $r,s$ element of$(\boldsymbol{X}'\boldsymbol{W}\boldsymbol{X})^{-1}$and$$\begin{aligned}\zeta_{ij,rs}&=(x_{ijr}-\sum_kx_{ikr}\pi_{ik})(x_{ijs}-\sum_l\pi_{il}x_{ils}) | A comparison of results obtained with other packages | References
mclogit 0.9.17.1Martin Elff Firth-bias-reduction.Rmd