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st: Conditional Logit


From   "Yvonne Capstick" <yvonnecapstick@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Conditional Logit
Date   Thu, 06 Jul 2006 23:35:30 -0400

Hi,

I'm using the Stata clogit command and have read http://www.stata.com/support/faqs/stat/clogit.html and the manual at http://www.stata-press.com/manuals/stata8/clogit.pdf. I am confused by one fundamental thing.

As I understand it, the conditional logit model is used for mutually exclusive choices. You can only have one Yes answer within each group. The canonical model is McFadden's (1974) transport choice model (which is mentioned in the manual) where you can choose either bus or train or car. This is consistent with the fact that the likelihood function is p(i) = exp(beta*Xi)/Sum(exp(beta*Xi): with more than one Yes answer, the probabilities won't sum to 1.

However, Stata does allow you to have multiple positive observations within a group, as in the first example in the manual. How can this be, since the probabilities should be summing to 1? My initial reading is that what the Stata manual example is doing isn't the McFadden multiple choice model, but a fixed effects logit model, and perhaps the clogit command accommodates both models. However, the Stata manual also says both models are computationally equivalent, which I am confused by since the McFadden model doesn't allow for multiple positive observations.

Any advice appreciated.

Yvonne

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