A tractable estimator for general mixed multinomial logit models
AbstractThe mixed logit is a framework for incorporating unobserved heterogeneity in discrete choice models in a general way. These models are difficult to estimate because they result in a complicated incomplete data likelihood. This paper proposes a new approach for estimating mixed logit models. The estimator is easily implemented as iteratively re-weighted least squares: the well known solution for complete data likelihood logits. The main benefit of this approach is that it requires drastically fewer evaluations of the simulated likelihood function, making it significantly faster than conventional methods that rely on numerically approximating the gradient. The method is rooted in a generalized expectation and maximization (GEM) algorithm, so it is asymptotically consistent, efficient, and globally convergent.
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 InfoPaper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 1219.
Date of creation: 2012
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-DCM-2012-12-10 (Discrete Choice Models)
- NEP-ECM-2012-12-10 (Econometrics)
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.:
- Nielsen, Soren Feodor, 2000. "On simulated EM algorithms," Journal of Econometrics, Elsevier, vol. 96(2), pages 267-292, June.
- Arcidiacono, Peter & Jones, John B., 2000.
"Finite Mixture Distribution, Sequential Likelihood, and the EM Algorithm,"
00-16, Duke University, Department of Economics.
- Peter Arcidiacono & John Bailey Jones, 2003. "Finite Mixture Distributions, Sequential Likelihood and the EM Algorithm," Econometrica, Econometric Society, vol. 71(3), pages 933-946, 05.
- Kenneth Train, 2003.
"Discrete Choice Methods with Simulation,"
Online economics textbooks,
SUNY-Oswego, Department of Economics, number emetr2, January.
- Dankmar Böhning, 1992. "Multinomial logistic regression algorithm," Annals of the Institute of Statistical Mathematics, Springer, vol. 44(1), pages 197-200, March.
- Dankmar Böhning & Bruce Lindsay, 1988. "Monotonicity of quadratic-approximation algorithms," Annals of the Institute of Statistical Mathematics, Springer, vol. 40(4), pages 641-663, December.
- Bernal, Raquel & Keane, Michael P., 2010. "Quasi-structural estimation of a model of childcare choices and child cognitive ability production," Journal of Econometrics, Elsevier, vol. 156(1), pages 164-189, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lee Faulhaber).
If references are entirely missing, you can add them using this form.