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st: GLAMM and nested logit/probit

From   "Kristian Karlson" <>
Subject   st: GLAMM and nested logit/probit
Date   Tue, 18 Nov 2008 17:13:51 +0100

Dear Stata users,

Can GLLAMM perform nested multinomial logit models? I would like to
estimate a nested logit (or probit) model with unobserved
heterogeneity captured by a number of latent classes. My project is
about educational decisions in Denmark.

My nested choice structure looks like this (a simple model of the
Danish educational system):

1A. No further education
1B. Vocational
1C. High School
   2C1. No further education
   2C2. Short education
   2C3. Medium education
   2C4. Long education

The first choice is among 1A-1C. Contingent on 1C the next choice is
between 2C1-2C4. This model can be understood as a form of duration
model in the guise of a continuation ratio model with multiple exits.
I would like to include timevarying covariates, i.e. covariates that
change over the nested choices. I had an idea about the model being a
form of multi-process model. First process is 1A-1C, second process –
contingent on 1C – is 2C1-2C4. That is, modelling 2C1-2C4 is only
possible when the selection process into 1C has been modelled.
Does anyone have a suggestion as to how to model this with GLLAMM? My
alternatives are non-Stata programs (such as LEM or aML), but I fancy
GLLAMM and Stata.

If the information in this thread is too sparse, please let me know -
I will then provide some more detailed information.

Thank you, Kristian

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