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From |
Arne Risa Hole <arnehole@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Wed, 15 Jun 2011 09:27:51 +0100 |

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 Kantarcı <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 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/ > * * 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/

**References**:**Re: st: Mixed logit estimation with mixlogit***From:*Tunga Kantarcı <tungakantarci@gmail.com>

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