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Estimation of the multinomial logit model with random effects

  • Nikolaj Malchow-M�ller
  • Michael Svarer

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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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 7 ()
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.
  2. Gong, X. & van Soest, A.H.O. & Villagomez, E., 2000. "Mobility in the Urban Labor Market : A Panel Data Analysis for Mexico," Discussion Paper 2000-46, Tilburg University, Center for Economic Research.
  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.
  4. Dahlberg, Matz & Fredriksson, Peter, 2001. "Migration and Local Public Services," Working Paper Series 2001:12, Uppsala University, Department of Economics.
  5. repec:att:wimass:9429 is not listed on IDEAS
  6. John Rust & Department of Economics & University of Wisconsin, 1994. "Using Randomization to Break the Curse of Dimensionality," Computational Economics 9403001, EconWPA, revised 04 Jul 1994.
  7. Sloane, P J & Theodossiou, I, 1996. "Earnings Mobility, Family Income and Low Pay," Economic Journal, Royal Economic Society, vol. 106(436), pages 657-66, May.
  8. Arthur van Soest, 1995. "Structural Models of Family Labor Supply: A Discrete Choice Approach," Journal of Human Resources, University of Wisconsin Press, vol. 30(1), pages 63-88.
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