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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   Wed, 11 Aug 2010 10:02:38 +0200

Dear all,

In the meantime I have received word from Stata technical support.
Apparently, the code of -nlogit- has "an unnecessary error trap in the
routine in an attempt to prevent users from trying to fit an unidentified
model." The support team was able to run a modified version of the ado file
which allowed the same variable to be specified in more than one branch. The
modified version of -nlogit- should be included in one of the coming regular
Stata updates.

However, I have another question on the nested logit model: Stata asks for
an alternative-specific variable in the model specification (see syntax in
the Stata manual). However, my data set does not contain a suitable
alternative-specific explanatory variable and I don't need one for the
interpretation of the results either. 
Does anybody have, by chance, an idea how to construct such a variable,
which does not distort overall results. I was trying around with a dummy
coded 0/1/2 for the three different alternatives in my dataset. But I am not
sure whether this is a suitable approach.

Thanks for considering this posting.

Regards
Marc

-----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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