Examining the reliability of logistic regression estimation software.

摘要

The reliability of nine software packages using the maximum likelihood estimator for the logistic regression model were examined using generated benchmark datasets and models. Software packages tested included: SAS (Procs Logistic, Catmod, Genmod, Surveylogistic, Glimmix, and Qlim), Limdep (Logit, Blogit), Stata (Logit, GLM, Binreg), Matlab, Shazam, R, Minitab, Eviews, and SPSS for all available algorithms, none of which have been previously tested. This study expands on the existing literature in this area by examination of Minitab 15 and SPSS 17. The findings indicate that Matlab, R, Eviews, Minitab, Limdep (BFGS), and SPSS provided consistently reliable results for both parameter and standard error estimates across the benchmark datasets. While some packages performed admirably, shortcomings did exist. SAS maximum log-likelihood estimators do not always converge to the optimal solution and stop prematurely depending on starting values, by issuing a "flat" error message. This drawback can be dealt with by rerunning the maximum log-likelihood estimator, using a closer starting point, to see if the convergence criteria are actually satisfied. Although Stata-Binreg provides reliable parameter estimates, there is no way to obtain standard error estimates in Stata-Binreg as of yet. Limdep performs relatively well, but did not converge due to a weakness of the algorithm. The results show that solely trusting the default settings of statistical software packages may lead to non-optimal, biased or erroneous results, which may impact the quality of empirical results obtained by applied economists. Reliability tests indicate severe weaknesses in SAS Procs Glimmix and Genmod. Some software packages fail reliability tests under certain conditions. The finding indicates the need to use multiple software packages to solve econometric models.