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st: How to correctly estimate nested logit sequentially?


From   Alexander Kihm <alex.kihm@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to correctly estimate nested logit sequentially?
Date   Thu, 21 Feb 2013 17:53:20 +0100

Dear Statalisters,

I am building a nested logit model with a very large number of
alternatives and different sampling strategies for each nest. For
easier handling I would like to estimate it “old-school” sequentially,
like it was done in [1] and more recently [2]. But I got confused by
the discussions in [3] and [4] about differences in non-normalized and
utility-maximizing nested logit and want to make sure that I
sequentially estimate the latter. I tried to sequentially replicate
many different examples of simulaneously-estimated models (like in [5]
or [6]), be it with the travel dataset (webuse travel) or the
restaurant one, but I don’t manage to compare the results.

Hence I just want to ask:
Can you give me an example code of a nested logit model that you
estimate simultaneously (i.e. by nlogit or nlogitrum) and replicate
the results sequentially (i.e. by separate clogit including the
inclusive values)?

Thank you for your help!
Alex


Refs:

[1] Train, K. (1986). “Qualitative Choice Analysis: Theory,
Econometrics, and an Application to Automobile Demand”, MIT Press
(http://emlab.berkeley.edu/books/choice.html)

[2] “Follow-on Development of CARBITS: A Response Model for the
California Passenger Vehicle Market,” Final Report (Contract 05-303)
prepared for State of California Air Resources Board, April 30, 2009
(http://www.arb.ca.gov/research/apr/past/05-303.pdf)

[3] Heiss, F. (2002). "Structural Choice Analysis with Nested Logit
Models." Stata Journal, 2(3), 227-252.
(http://www.stata-journal.com/article.html?article=st0017)

[4] Silberhorn, N., Boztug, Y., and Hildebrandt, L. (2006).
"Estimation with the Nested Logit Model: Specification and Software
Particularities." SFB 649 Discussion Paper, SFB649DP2006-017.
Sonderforschungsbereich 649, Humboldt University, Berlin, Germany
(http://edoc.hu-berlin.de/series/sfb-649-papers/2006-17/PDF/17.pdf)

[5] http://www.ats.ucla.edu/stat/stata/examples/greene/greene19.htm

[6] http://transp-or.epfl.ch/courses/dca2011/slides/08-nested.pdf

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