ENH: MNLogit identification with categorical variables

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Assessment

Difficulty
5/5
Estimated time
Over a week
Newbie friendliness
25/100
Issue type
Feature
Clarity
Needs clarification
Activity status
Stale
Tech stack
python
Domain
data

Research direction

Start with the linked Stack Overflow report and establish the identification condition for MNLogit with categorical variables. Then determine whether the proposed hessian_pinv option addresses the issue and what behavior should be tested; the payload names no repository files, entry points, or tests.

Written by the indexing model from the issue text.

Description

comp-discrete topic-covtype type-enh

https://stackoverflow.com/questions/77352027/mnlogit-summary-return-a-array-with-a-lot-of-nan

My guess would be that if we have categorical variables, then we need observations for each endog/exog-cat cell.
But I'm not sure what identification condition we need.

possible workaround:
add option hessian_pinv=True to use pinv for hessian that is only semi-definite but not positive definite.

Dominant language
Python
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