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AW: AW: st: Nested Logit Model


From   "Marc Michelsen" <marcmichelsen@t-online.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: AW: st: Nested Logit Model
Date   Fri, 16 Jul 2010 10:54:43 +0200

Nitin, Anders,

many thanks for your comments.

For the sake of clarity, I am referring to the following paper: Huang, R.,
and J. R. Ritter. "Testing theories of capital structure and estimating the
speed of adjustment." Journal of Financial and Quantitative Analysis 44
(2009), 237?271. The nested logit model in question can be found on page
253. 

I have checked both the restaurant example in the helpfile and the fishing
example in Cameron and Trivedi, 2009. 
In both examples only the limb (first layer) or the branch level (second
layer) is examined. Not both levels simultaneously. Restaurant example: The
type of restaurant is estimated, but not the individual restaurant. Fishing
example: Not fishing from shore or boat is analyzed, but the individual
choices beach/charter/pier/private. 
Is this just by chance or driven by the model? Similar to Huang/Ritter
(2009), my set of explanatory variables (only case-specific) should
determine the first decision layer (issue security or not) as well as the
second layer (issue debt or equity). How do I have to proceed? Just estimate
the limb first and after that in a second regression the branches?

Checking the source code of nlogit.ado did not help me.

Does anybody have a view on this?

Regards
Marc


Cameron, A. C., and P. K. Trivedi. Microeconometrics using stata: Stata
Press (2009).

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nitin Dua
Gesendet: Donnerstag, 15. Juli 2010 22:45
An: statalist@hsphsun2.harvard.edu
Betreff: Re: AW: st: Nested Logit Model

Marc,

Do you want different coefficients by alternative? because, thats what your
syntax suggests. 

Also, you may be already aware of this ---- by using the same variables for
nest type choice as well as for the final alternative choice you are
introducing collinearity in the model and it cannot be estimated.


Nitin
 

----- Original Message -----
From: Marc Michelsen <marcmichelsen@t-online.de>
Date: Thursday, July 15, 2010 11:54 am
Subject: AW: st: Nested Logit Model
To: statalist@hsphsun2.harvard.edu

> Anders,
> 
> thanks for your comments. 
> 
> Of course I have first used -nlogitgen- and -nlogitree- to set up 
> the nested
> structure of my panel data. Please see below for more details:
> 
> . nlogitgen issuetype = mode(NonIssuer: NoIssue , Issuer: Debt | 
> Equity). nlogittree mode issuetype, choice(d)
> tree structure specified for the nested logit model
> 
> issuetype   N       mode     N     k  
> -----------------------------------------
> NonIssuer 29458 --- NoIssue 29458 21695
> Issuer    58916 --- Debt    29458  6109
>                  +- Equity  29458  1654
> -----------------------------------------
>                      total  88374 29458
> 
> k = number of times alternative is chosen
> N = number of observations at each level
> 
> . nlogit d a || issuetype: StandMBRatio BLeverage OpPerformance Size
> RDExpense RDExpenseDummy Tangibility posoutl negoutl, 
> base(NonIssuer) ||
> mode:  StandMBRatio BLeverage OpPerformance Size RDExpense 
> RDExpenseDummyTangibility posoutl negoutl, base(Debt) case(No) 
> notree nolog
> 
> Error Message <variables "StandMBRatio BLeverage OpPerformance Size
> RDExpense RDExpenseDummy Tangibility posoutl negoutl " are 
> specified in more
> than one equation; this is not allowed>
> 
> Does this help to clarify the problem?
> 
> Regards
> Marc
> 
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Anders
> Alexandersson
> Gesendet: Donnerstag, 15. Juli 2010 17:30
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: Nested Logit Model
> 
> Marc, try -nlogitgen- and -nlogittree- before running -nlogit-, as in
> the helpfile.
> Please provide what you typed instead of schematic syntax like
> "[explanatory variables]", e.g., what is your "altvar"?
> 
> Anders Alexandersson
> andersalex@gmail.com
> 
> On Thu, Jul 15, 2010 at 10:22 AM, Marc Michelsen
> <marcmichelsen@t-online.de> wrote:
> > I am trying to run a nested logit model comparable to 
> Huang/Ritter (2009)
> > "Testing Theories of Capital Structure and
> > Estimating the Speed of Adjustment", p. 253:
> > 2-layered Security Issuance Decision: Limbs: NoIssue vs. Issue / 
> Branches> for "Issue": Debt Issuance vs. Equity Issuance.
> >
> > Similar to the above mentioned study, I have the same explanatory
> variables
> > for the first decision layer (Issue vs. NoIssue) and the second 
> layer(Debt
> > vs. Equity). Apparently, this is not valid for Stata as I get the
> following
> > error message:
> > <"variables ".." are specified in more than one equation; this is 
> not> allowed>
> >
> > My command looks the following:
> > . nlogit d a || issuetype: [explanatory variables], 
> base(NonIssuer) ||
> > issuetype2:  [explanatory variables], base(NoIssue) case(No) 
> notree nolog
> >
> > What is wrong with my model specification/general approach?
> 
>


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