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Estimation of the multinomial logit model with random effects

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Nikolaj Malchow-Møller
Michael Svarer

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Abstract

In the present paper, it is shown how to perform estimation of the random effects multinomial logit model in the SAS program. Inference in the random effects multinomial logit model is complicated because it requires evaluation of multi-dimensional integrals. Presumably for this reason, no statistical software packages allow for direct estimation of the model. It is shown how modifications of the likelihood function enable the applied researcher to make inference using SAS. While the procedure works well for small samples/models, estimation time might become considerable for larger samples/models. A possible explanation for this is provided.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 7 (May)
Pages: 389-392
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Handle: RePEc:taf:apeclt:v:10:y:2003:i:7:p:389-392

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  1. Keane, Michael P & Wolpin, Kenneth I, 1994. "The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpolation: Monte Carlo Evidence," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 648-72, November. [Downloadable!] (restricted)
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  2. John Rust, 1997. "Using Randomization to Break the Curse of Dimensionality," Econometrica, Econometric Society, vol. 65(3), pages 487-516, May.
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  3. Chen Z. & Kuo L., 2001. "A Note on the Estimation of the Multinomial Logit Model With Random Effects," The American Statistician, American Statistical Association, vol. 55, pages 89-95, May. [Downloadable!] (restricted)
  4. Dahlberg, M. & Fredriksson, P., 2001. "Migration and Local Public Services," Papers 2001-12, Uppsala - Working Paper Series.
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  5. Gong, X. & Soest, A. van & Villagomez, E., 2000. "Mobility in the urban labor market : a panel data analysis for Mexico," Discussion Paper 46, Tilburg University, Center for Economic Research. [Downloadable!]
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  1. Vincent Delbecque, 2007. "Impact de la fiscalité sur les IDE : Application à un panel d’entreprises françaises," EconomiX Working Papers 2007-1, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
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