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Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood

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  • Peter Haan
  • Arne Uhlendorff

Abstract

In this paper we suggest a Stata routine for multinomial logit models with unobserved heterogeneity using maximum simulated likelihood based on Halton sequences. The purpose of this paper is twofold: First, we provide a description of the technical implementation of the estimation routine and discuss its properties. Further, we compare our estimation routine to the Stata program gllamm which solves integration using Gauss Hermite quadrature or Bayesian 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. Bayesian quadrature, however, leads to very stable results with only a few quadrature points, thus the computational advantage of Halton based simulation vanishes in our example with one and two dimensional integrals.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.44179.de/dp573.pdf
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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 573.

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Length: 16 p.
Date of creation: 2006
Date of revision:
Handle: RePEc:diw:diwwpp:dp573

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Keywords: multinomial logit model; panel data; unobserved heterogeneity; maximum simulated likelihood; Halton sequences;

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References

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  1. Sophia Rabe-Hesketh & Anders Skrondal, 2012. "Multilevel and Longitudinal Modeling Using Stata, 3rd Edition," Stata Press books, StataCorp LP, edition 3, number mimus2, March.
  2. Sophia Rabe-Hesketh & Anders Skrondal & Andrew Pickles, 2002. "Reliable estimation of generalized linear mixed models using adaptive quadrature," Stata Journal, StataCorp LP, StataCorp LP, vol. 2(1), pages 1-21, February.
  3. Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521848053.
  4. Bhat, Chandra R., 2001. "Quasi-random maximum simulated likelihood estimation of the mixed multinomial logit model," Transportation Research Part B: Methodological, Elsevier, Elsevier, vol. 35(7), pages 677-693, August.
  5. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521766555.
  6. Lorenzo Cappellari & Stephen P. Jenkins, 2003. "Multivariate probit regression using simulated maximum likelihood," United Kingdom Stata Users' Group Meetings 2003, Stata Users Group 10, Stata Users Group.
  7. Kenneth Train ., 2000. "Halton Sequences for Mixed Logit," Economics Working Papers, University of California at Berkeley E00-278, University of California at Berkeley.
  8. repec:tsj:spbook:mimus is not listed on IDEAS
  9. 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.
  10. William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, March.
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Citations

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Cited by:
  1. Julio Rosa & Pierre Mohnen, 2013. "Doing R&D in a Closed or Open Mode: Dynamics and Impacts on Productivity," CIRANO Working Papers, CIRANO 2013s-42, CIRANO.
  2. 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).
  3. 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, Lund University, Department of Economics 2013:28, Lund University, Department of Economics.
  4. 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).
  5. Wicker, Pamela & Prinz, Joachim & von Hanau, Tassilo, 2012. "Estimating the value of national sporting success," Sport Management Review, Elsevier, Elsevier, vol. 15(2), pages 200-210.
  6. 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).
  7. Sara Ayllón, 2013. "Understanding poverty persistence in Spain," SERIEs, Spanish Economic Association, Spanish Economic Association, vol. 4(2), pages 201-233, June.
  8. Fabio Berton, 2008. "The (long) run out of unemployment: are temporary jobs the shortest way?," LABORatorio R. Revelli Working Papers Series, LABORatorio R. Revelli, Centre for Employment Studies 76, LABORatorio R. Revelli, Centre for Employment Studies.
  9. Max Löffler, 2013. "Fitting Complex Mixed Logit Models with Particular Focus on Labor Supply Estimation," German Stata Users' Group Meetings 2013, Stata Users Group 07, Stata Users Group.
  10. Alem, Yonas & Beyene, Abebe D. & Kohlin, Gunnar & Mekonnen, Alemu, 2013. "Household Fuel Choice in Urban Ethiopia: A Random Effects Multinomial Logit Analysis," Discussion Papers, Resources For the Future dp-13-12-efd, Resources For the Future.

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