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From |
Tunga Kantarcı <tungakantarci@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Mixed logit estimation with mixlogit |

Date |
Wed, 15 Jun 2011 11:14:01 +0200 |

Thank you. I will follow your suggestion. I might update the thread for how it worked. Kind regards, Tunga >Tunga > >This is the sort of specification I had in mind. In response to your questions: > >Q1: Yes, X should be specified to have a random coefficient and the >X*Y interaction a fixed coefficient > >Q2: Gamma is estimated (as the mean parameter) along with n (the SD >parameter) when you specify X to be random. > >I hope this helps. > >Arne > >On 14 June 2011 16:03, Tunga Kantarci <tungakantarci@gmail.com> wrote: >> Please let me express what I understand from your suggestion. >> >> U = alfa + beta X + e is the random utility model where beta is a >> random coefficient and I assume e is normally distributed. >> >> beta = gamma + lambda Y + n where Y is observed and n is unobserved >> and assumed to be normally distributed with mean of zero and variance >> to be estimated. >> >> I plug beta in the first equation to get >> >> U = alfa + gamma X + lambda Y X + n X + e is the new random utility >> model where n is unobserved. >> >> Question 1: Would I indicate X as the variable with a random >> coefficient, which is e, in rand(varlist)? >> Question 2: I guess I should get rid of the gamma then? >> >> Tunga >> >> PS. Thanks for the quick reply... and how lucky one can be to get a >> reply from the author of mixlogit. >> >>> 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 Kantarci <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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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