Dear Statalisters,
I am running a mlogit regression. When I include year dummies in the regression, it shows not concave.

Code:
mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ i.year, base(1) ro
Stata outputs:
Code:
Iteration 0:   log pseudolikelihood = -16695.505  
Iteration 1:   log pseudolikelihood = -16120.661  (not concave)
Iteration 2:   log pseudolikelihood = -13218.799  (not concave)
Iteration 3:   log pseudolikelihood = -12931.311  
Iteration 4:   log pseudolikelihood = -12917.118  (backed up)
Iteration 5:   log pseudolikelihood = -12774.274  
Iteration 6:   log pseudolikelihood = -12763.371  
Iteration 7:   log pseudolikelihood = -12761.987  (not concave)
Iteration 8:   log pseudolikelihood = -12761.728  
Iteration 9:   log pseudolikelihood = -12761.608  
Iteration 10:  log pseudolikelihood = -12761.581  
Iteration 11:  log pseudolikelihood = -12761.575  
Iteration 12:  log pseudolikelihood = -12761.574  (not concave)
Iteration 13:  log pseudolikelihood = -12761.573  (not concave)
Iteration 14:  log pseudolikelihood = -12761.573  
Iteration 15:  log pseudolikelihood = -12761.573  (not concave)
Iteration 16:  log pseudolikelihood = -12761.573  (not concave)
Iteration 17:  log pseudolikelihood = -12761.573  (not concave)
Iteration 18:  log pseudolikelihood = -12761.573  (not concave)
Iteration 19:  log pseudolikelihood = -12761.573  (not concave)
Iteration 20:  log pseudolikelihood = -12761.573  (not concave)
Iteration 21:  log pseudolikelihood = -12761.573  (not concave)
Iteration 22:  log pseudolikelihood = -12761.573  (not concave)

However, when I exclude year dummies, things are well.

Code:
mlogit Choice CR_year Divdummy Years_listed Pre_return_75d ROA DebtRatio TBill_3m_updtd Taxes FirmSize PPE Volatility_200d MB Asset_Growth ILLIQ20_priorm ImmediateDepletion_cf_exante KZ, base(1) ro
Stata results:
Code:
Iteration 0:   log pseudolikelihood = -16695.505  
Iteration 1:   log pseudolikelihood = -16310.622  
Iteration 2:   log pseudolikelihood = -13882.762  
Iteration 3:   log pseudolikelihood =  -13703.73  
Iteration 4:   log pseudolikelihood = -13690.578  
Iteration 5:   log pseudolikelihood = -13689.013  
Iteration 6:   log pseudolikelihood = -13688.706  
Iteration 7:   log pseudolikelihood = -13688.629  
Iteration 8:   log pseudolikelihood = -13688.614  
Iteration 9:   log pseudolikelihood = -13688.612  
Iteration 10:  log pseudolikelihood = -13688.611  
Iteration 11:  log pseudolikelihood = -13688.611  
Iteration 12:  log pseudolikelihood = -13688.611  

Multinomial logistic regression                 Number of obs     =     44,262
                                                Wald chi2(48)     =  173946.46
                                                Prob > chi2       =     0.0000
Log pseudolikelihood = -13688.611               Pseudo R2         =     0.1801

-----------------------------------------------------------------------------------------
                        |               Robust
                 Choice |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
------------------------+----------------------------------------------------------------
0                       |
                CR_year |  -.1441597   .0604461    -2.38   0.017    -.2626318   -.0256876
               Divdummy |   .6182579   .0850856     7.27   0.000     .4514931    .7850226
           Years_listed |   .0096256   .0049354     1.95   0.051    -.0000477    .0192988
         Pre_return_75d |   -1.99272   .0935092   -21.31   0.000    -2.175994   -1.809445
                    ROA |   1.609626   .0930419    17.30   0.000     1.427267    1.791984
              DebtRatio |  -.7731731   .1748165    -4.42   0.000    -1.115807    -.430539
         TBill_3m_updtd |    .005933   .1013261     0.06   0.953    -.1926624    .2045285
                  Taxes |   7.252417   .7587598     9.56   0.000     5.765275    8.739559
               FirmSize |   .2034862    .020423     9.96   0.000     .1634578    .2435145
                    PPE |  -.4331732   .1469587    -2.95   0.003    -.7212071   -.1451394
        Volatility_200d |   6.063536   1.437402     4.22   0.000     3.246279    8.880792
                     MB |  -.0051315   .0041605    -1.23   0.217    -.0132858    .0030229
           Asset_Growth |  -.2958317   .0539167    -5.49   0.000    -.4015064   -.1901569
         ILLIQ20_priorm |   .9222181   .0892534    10.33   0.000     .7472845    1.097152
ImmediateDepletion_cf~e |  -.4624352   .0577915    -8.00   0.000    -.5757045   -.3491659
                     KZ |  -.0707258   .0344857    -2.05   0.040    -.1383165    -.003135
                  _cons |   2.077838   .1821774    11.41   0.000     1.720777    2.434899
------------------------+----------------------------------------------------------------
1                       |  (base outcome)
------------------------+----------------------------------------------------------------
2                       |
                CR_year |   .1673746   .1038581     1.61   0.107    -.0361835    .3709326
               Divdummy |  -.3154148   .1470183    -2.15   0.032    -.6035655   -.0272642
           Years_listed |   .0491801   .0094194     5.22   0.000     .0307184    .0676419
         Pre_return_75d |  -.4252999    .173124    -2.46   0.014    -.7646167   -.0859831
                    ROA |   .7299756   .2178288     3.35   0.001      .303039    1.156912
              DebtRatio |  -.2366335   .3914757    -0.60   0.546    -1.003912    .5306447
         TBill_3m_updtd |   -.197818   .1412289    -1.40   0.161    -.4746215    .0789855
                  Taxes |   4.576749   1.475215     3.10   0.002     1.685381    7.468118
               FirmSize |   .4797009   .0308001    15.57   0.000     .4193338     .540068
                    PPE |  -.9540304    .243733    -3.91   0.000    -1.431738   -.4763225
        Volatility_200d |   6.617113   2.491034     2.66   0.008     1.734776    11.49945
                     MB |  -.0011262    .008126    -0.14   0.890    -.0170528    .0148004
           Asset_Growth |   .0125875   .0950231     0.13   0.895    -.1736543    .1988294
         ILLIQ20_priorm |  -15.35728   .1064107  -144.32   0.000    -15.56584   -15.14872
ImmediateDepletion_cf~e |  -.3811099   .1048775    -3.63   0.000     -.586666   -.1755538
                     KZ |   .0078681    .086746     0.09   0.928     -.162151    .1778872
                  _cons |  -4.172834   .3111715   -13.41   0.000    -4.782719   -3.562949
------------------------+----------------------------------------------------------------
3                       |
                CR_year |  -.8219941   .1089436    -7.55   0.000     -1.03552   -.6084685
               Divdummy |   .8951427   .1159074     7.72   0.000     .6679684    1.122317
           Years_listed |   .1016542   .0116678     8.71   0.000     .0787858    .1245227
         Pre_return_75d |  -1.825838   .1684105   -10.84   0.000    -2.155916   -1.495759
                    ROA |   2.387836   .3910509     6.11   0.000      1.62139    3.154281
              DebtRatio |   .4445049   .2558736     1.74   0.082    -.0569982     .946008
         TBill_3m_updtd |  -.1245963   .1241685    -1.00   0.316     -.367962    .1187694
                  Taxes |   11.74735   1.296441     9.06   0.000     9.206374    14.28833
               FirmSize |   .9097437   .0279926    32.50   0.000     .8548792    .9646082
                    PPE |   .3893675   .1946646     2.00   0.045      .007832    .7709031
        Volatility_200d |   11.46905   2.438661     4.70   0.000     6.689365    16.24874
                     MB |  -.0122498   .0068993    -1.78   0.076    -.0257722    .0012726
           Asset_Growth |  -.3521222   .1179288    -2.99   0.003    -.5832584   -.1209859
         ILLIQ20_priorm |  -.7383745   .5148807    -1.43   0.152    -1.747522    .2707731
ImmediateDepletion_cf~e |  -.4130614   .0977833    -4.22   0.000    -.6047131   -.2214096
                     KZ |  -.0428539   .0504974    -0.85   0.396     -.141827    .0561191
                  _cons |  -9.009444   .3216375   -28.01   0.000    -9.639842   -8.379046
--
Does it mean I cannot include year dummies in the regression? Could anyone help me with that?
Many thanks.