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


From   "Nick Shryane" <n.shryane@man.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: non i.i.d. observations in -nlogit-
Date   Thu, 20 May 2004 10:35:49 +0100

Hello Sascha,

>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.

I'm afraid I don't have up-to-date manuals, but it sounds like you could use a multi-
level mixed multinomial logit model, which can be estimated in gllamm; individuals 
nested within families (if required), families nested within neighbourhoods, and 
restaurant as an alternative-specific characteristic. Correlation amongst error terms 
across units (individuals, families, neighbourhoods) is handled by latent variables. 
Have a look at Skrondal & Rabe-Hesketh (2003) "multilevel logistic regression for 
polytomous data and rankings", Psychometrika, 68(2): 267-287, and 
www.gllamm.org.
Cheers,
Nick

--------
n.shryane@man.ac.uk
+44 (0)161 275 4738

CCSR, Dover St. Building,
University of Manchester,
Manchester
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