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st: Nested logit with shares/grouped data
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:
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)?
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