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st: Re: non i.i.d. observations in -nlogit-

From   "Sascha O. Becker" <>
Subject   st: Re: non i.i.d. observations in -nlogit-
Date   Wed, 19 May 2004 13:06:12 +0200

Dear Nick,

> nlogit allows specification of nests, i.e. groups of
> observations across which, but not within, correlations are
> allowed. (Have a look at "help nlogit" in stata). gllamm
> allows specification of mixed logit models, allowing yet more
> freedom to allow correlated observations.

My understanding is that nests in -nlogit- take care of correlation in the error terms of latent utilities across choices of the same individual.

What I want is non i.i.d. observations, i.e. allow for correlations in the error terms across different individuals ON TOP OF the nested structure across choices.

As I wrote in my earlier message: In the restaurant example in the Stata manual we have nests for different restaurant types (fast food, family restaurants and fancy restaurants) but we still assume that choices made by DIFFERENT families are uncorrelated (i.e. they are i.i.d.)
In real life, restaurant choices of families (those are the units of observation) in the same neighborhood may be correlated because families in the same neighborhood have similar (unobserved) tastes.
That's the case I am looking for.




Dr. Sascha O. Becker
Center for Economic Studies
University of Munich
Schackstr. 4 - 80539 Munich, Germany
Tel +49 (89) 2180-6252
Fax +49 (89) 39 73 03
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