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st: Mixed Logit, error component and independence from observables


From   SC Wainwright <s9907040@sms.ed.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Mixed Logit, error component and independence from observables
Date   Wed, 10 Aug 2005 11:34:40 +0100

dear statalisters,

am not sure of appropriateness of posting non-stata question;

i note the inconsistency with estimating a RE probit where explanatory variables
are correlated with unobserved component,c. without knowledge of c, we need
integrate back over normal unobservables to obtain y|x only and must assume
independence of (x,c) given prob rules ?

unless one models the exact correlation...

with mixed logit we allow coefficients to have a mean and a deviation, "whose
distribution over individuals and alternatives depends in general on underlying
parameters and observed data relating to alternative i and individual q". to my
mind we are modelling this conditional distribution c|x explicitly so do not
assume independence. same with mixture of normals probit ?

any clarification appreciated,
regards,
claire wainwright



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