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

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 14 Jun 2011 17:03:59 +0200 |

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 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 * * 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/

**Follow-Ups**:**Re: st: Mixed logit estimation with mixlogit***From:*Arne Risa Hole <arnehole@gmail.com>

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