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Re: st: Mixed logit estimation with mixlogit


From   Arne Risa Hole <arnehole@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Mixed logit estimation with mixlogit
Date   Tue, 14 Jun 2011 14:57:49 +0100

Tunga

If I understood your question correctly it seems to me that you can
handle this by interacting X with the observed characteristics driving
the heterogeneity in beta.

Arne (author of -mixlogit-)

On 14 June 2011 14:27, Tunga Kantarcı <tungakantarci@gmail.com> wrote:
> Hello,
>
> I have a random utility model where the coefficients are treated
> random. That is, U = alfa + beta * X + U is a random utility model
> where alfa and beta are treated as "random" coefficients which depend
> on "observed" and "unobserved" characteristics. This leads to a mixed
> logit model that needs to be estimated using maximum simulated
> likelihood. I have read Arne Risa Hole's "Fitting mixed logit models
> using maximum simulated likelihood" in The Stata Journal, 2007, 7 (3),
> 388-401. It seemed to me that the mixlogit package can handle my
> estimation. However, a first question I have is the following: In the
> article, the random coefficient is treated "unobserved". In my model,
> the random coefficient (beta above) depends on observed as well as
> unobserved characteristics. It looks like I cannot specify that the
> random coefficient depends on observed characteristics in the mixlogit
> syntax.
>
> Would it be possible to specify that my random coefficients depend on
> observed and unobserved characteristics prior and still make use of
> the mixlogit procedure?
>
> Thanks,
> Tunga
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