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Re: st: question on MLE d0 method for multilogit model with invariant regressors


From   Partha Deb <partha.deb@hunter.cuny.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: question on MLE d0 method for multilogit model with invariant regressors
Date   Sun, 11 Apr 2010 22:50:34 -0400

Unless I've misunderstood, it seems that your first model specification is -mlogit- while the parameters of your second specification are unidentified. In the multinomial choice framework you describe, if variables vary across alternatives, the parameter must be constant (or at least not vary independently with each choice). That's the -clogit- .

Hope this helps.

Partha


Hey Sky wrote:
Hey, All


I try to do a mle d0 estimation for multilogit model with invariant regressors and have searched internet but no luck. I wish I can get some help here. any suggestion is appreciated.
here is the question:

given a period, the probability of a person choose choice k is:

pr(choice=k)=exp(x*beta_k)/(exp(x*beta_1) + exp(x*beta_2)+...)

that is, the regresors are invariant, x, but the parameters are variant when choose diffecrent choice, beta_1, beta_2, etc.
a little complicated case is when making the regressors and parameters both changes along with choices, i.e.

pr(choice=k)=exp(x_k*beta_k)/(exp(x_1*beta_1) + exp(x_2*beta_2)+...)

how to do it with the Stata MLE method? thanks for any clue you provide.
Nan
from Montreal


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Partha Deb
Professor of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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