Estimation of multinomial logit models with unobserved heterogeneity using maximum simulated likelihood
AbstractIn this paper, we suggest a Stata routine for multinomial logit mod- els with unobserved heterogeneity using maximum simulated likelihood based on Halton sequences. The purpose of this paper is twofold. First, we describe the technical implementation of the estimation routine and discuss its properties. Further, we compare our estimation routine with the Stata program gllamm, which solves integration by using Gauss-Hermite quadrature or adaptive quadrature. For the analysis, we draw on multilevel data about schooling. Our empirical findings show that the estimation techniques lead to approximately the same estimation results. The advantage of simulation over Gauss-Hermite quadrature is a marked reduction in computational time for integrals with higher dimensions. Adaptive quadrature leads to more stable results relative to the other integration methods. However, simulation is more time efficient. We find that maximum simulated like- lihood leads to estimation results with reasonable accuracy in roughly half the time required when using adaptive quadrature. Copyright 2006 by StataCorp LP.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by StataCorp LP in its journal Stata Journal.
Volume (Year): 6 (2006)
Issue (Month): 2 (June)
Contact details of provider:
Web page: http://www.stata-journal.com/
Other versions of this item:
- Peter Haan & Arne Uhlendorff, 2006. "Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood," Discussion Papers of DIW Berlin 573, DIW Berlin, German Institute for Economic Research.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, October.
- Peter Haan, 2005. "State Dependence and Female Labor Supply in Germany: The Extensive and the Intensive Margin," Discussion Papers of DIW Berlin 538, DIW Berlin, German Institute for Economic Research.
- Bhat, Chandra R., 2001. "Quasi-random maximum simulated likelihood estimation of the mixed multinomial logit model," Transportation Research Part B: Methodological, Elsevier, vol. 35(7), pages 677-693, August.
- Lorenzo Cappellari & Stephen P. Jenkins, 2003.
"Multivariate probit regression using simulated maximum likelihood,"
United Kingdom Stata Users' Group Meetings 2003
10, Stata Users Group.
- Lorenzo Cappellari & Stephen P. Jenkins, 2003. "Multivariate probit regression using simulated maximum likelihood," Stata Journal, StataCorp LP, vol. 3(3), pages 278-294, September.
- Train,Kenneth E., 2009.
"Discrete Choice Methods with Simulation,"
Cambridge University Press, number 9780521747387, October.
- William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, April.
- Kenneth Train ., 2000.
"Halton Sequences for Mixed Logit,"
Economics Working Papers
E00-278, University of California at Berkeley.
- repec:tsj:spbook:mimus is not listed on IDEAS
- Sophia Rabe-Hesketh & Anders Skrondal & Andrew Pickles, 2002. "Reliable estimation of generalized linear mixed models using adaptive quadrature," Stata Journal, StataCorp LP, vol. 2(1), pages 1-21, February.
- Sophia Rabe-Hesketh & Anders Skrondal, 2012. "Multilevel and Longitudinal Modeling Using Stata, 3rd Edition," Stata Press books, StataCorp LP, edition 3, number mimus2, April.
- Cappellari, Lorenzo & Jenkins, Stephen P., 2006.
"Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation,"
IZA Discussion Papers
2112, Institute for the Study of Labor (IZA).
- Lorenzo Cappellari & Stephen P. Jenkins, 2006. "Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation," Stata Journal, StataCorp LP, vol. 6(2), pages 156-189, June.
- Lorenzo Cappellari & Stephen P. Jenkins, 2006. "Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation," Discussion Papers of DIW Berlin 584, DIW Berlin, German Institute for Economic Research.
- Mosthaf, Alexander & Schank, Thorsten & Schnabel, Claus, 2009.
"Low-wage employment versus unemployment: which one provides better prospects for women?,"
65, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
- Mosthaf, Alexander & Schank, Thorsten & Schnabel, Claus, 2009. "Low-wage employment versus unemployment: which one provides better prospects for women?," IWQW Discussion Paper Series 14/2009, Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW).
- Mosthaf, Alexander & Schank, Thorsten & Schnabel, Claus, 2009. "Low-Wage Employment versus Unemployment: Which One Provides Better Prospects for Women?," IZA Discussion Papers 4611, Institute for the Study of Labor (IZA).
- Julio Rosa & Pierre Mohnen, 2013. "Doing R&D in a Closed or Open Mode: Dynamics and Impacts on Productivity," CIRANO Working Papers 2013s-42, CIRANO.
- Uhlendorff, Arne, 2006.
"From No Pay to Low Pay and Back Again? A Multi-State Model of Low Pay Dynamics,"
IZA Discussion Papers
2482, Institute for the Study of Labor (IZA).
- Arne Uhlendorff, 2006. "From No Pay to Low Pay and Back Again?: A Multi-State Model of Low Pay Dynamics," Discussion Papers of DIW Berlin 648, DIW Berlin, German Institute for Economic Research.
- Wicker, Pamela & Prinz, Joachim & von Hanau, Tassilo, 2012. "Estimating the value of national sporting success," Sport Management Review, Elsevier, vol. 15(2), pages 200-210.
- Alem, Yonas & Beyene, Abebe D. & Kohlin, Gunnar & Mekonnen, Alemu, 2013. "Household Fuel Choice in Urban Ethiopia: A Random Effects Multinomial Logit Analysis," Discussion Papers dp-13-12-efd, Resources For the Future.
- Sara Ayllón, 2013. "Understanding poverty persistence in Spain," SERIEs, Spanish Economic Association, vol. 4(2), pages 201-233, June.
- Rosa, Julio Miguel & Mohnen, Pierre, 2013. "Doing R&D in a closed or open mode: Dynamics and impacts on productivity," MERIT Working Papers 060, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Hess , Wolfgang & Schwarzkopf , Larissa & Hunger , Matthias & Holle , Rolf, 2013. "Competing-Risks Duration Models with Correlated Random Effects: An Application to Dementia Patients’ Transition Histories," Working Papers 2013:28, Lund University, Department of Economics.
- Fabio Berton, 2008. "The (long) run out of unemployment: are temporary jobs the shortest way?," LABORatorio R. Revelli Working Papers Series 76, LABORatorio R. Revelli, Centre for Employment Studies.
- Max Löffler, 2013. "Fitting Complex Mixed Logit Models with Particular Focus on Labor Supply Estimation," German Stata Users' Group Meetings 2013 07, Stata Users Group.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Lisa Gilmore).
If references are entirely missing, you can add them using this form.