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st: Nested logit with shares/grouped data


From   "Peter Wright" <Peter.Wright@nottingham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Nested logit with shares/grouped data
Date   Tue, 08 Nov 2005 20:41:48 +0000

Dear Statalisters,

I have seen this question on the list several times but, as far as I can tell, no one has offered a reply.

How do you estimate a nested logit model when your left hand side variable takes the form of a count (or a market share). i.e. the dataset records how many sales of each product are made in each time period. 

The stata web site offers advice for a logit or multinomial logit model: 

http://www.stata.com/support/faqs/stat/grouped.html

This advice suggests first putting your data in "long" form and then use frequency weights (fweights) with the logistic, logit, or mlogit command.

I guess my question is, can such a procedure be used in the case of a nested logit model? I tried this procedure and got some answers out that look sensible. However when I checked it with LIMDEP NLOGIT (which claims to be able to cope with shares/grouped data) I get different results.

Is this because you cannot proceed as I suggest above (or because LIMDEP is wrong)?

Many thanks
Peter



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