I have a multinomial logistic regression with $11$ independent variables. When I remove variables, the pseudo $R$-squared increases.
Isn't this not supposed to happen? Why could this be happening?
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3Can you specify precisely what you mean by pseudo-$R^2$? I've seen a few different quantities called that. – Kodiologist Jul 21 '16 at 15:44
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See https://stats.stackexchange.com/questions/3559/which-pseudo-r2-measure-is-the-one-to-report-for-logistic-regression-cox-s/18485#18485 for different defs – kjetil b halvorsen Apr 05 '19 at 20:28