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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Fwd: Simulating Multinomial Logit in Stata |

Date |
Tue, 14 May 2013 10:36:14 +0200 |

--- andrea capre wrote me privately: > I am writing to ask a question related to this post: > > http://www.stata.com/statalist/archive/2013-03/msg00535.html > > When one simulates a multinomial logit model by computing the probabilities > and then simulating random uniform (0,1) numbers as you do in the statalist > post, what is the variance that the error term has? (the variance of the extreme > value e_ij in the random utility model which precedes the multinomial logit: > u_ij=xb+e_ij Questions like these are best sent to the Statalist rather than its individual members. The reasons are discussed here: <http://www.stata.com/support/faqs/resources/statalist-faq/#private> In a multinomial logit you will have multiple error terms, 1 for each equation/comparison of outcomes. These error terms are uncorrelated (that is an other way of saying the IIA assumption holds), follow a gumbel distribution with mu=0 and \beta = 1 such that the PDF is: exp(-e - exp(-e)), and the variance of each of these error terms is (pi^2)/6. -- Maarten --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: AW: Fwd: Simulating Multinomial Logit in Stata***From:*"Klaus Pforr" <kpforr@googlemail.com>

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