Fitting Complex Mixed Logit Models with Particular Focus on Labor Supply Estimation
When estimating discrete choice models, the mixed logit approach is commonly superior to simple conditional logit setups. Mixed logit models not only allow the researcher to implement difficult random components but also overcome the restrictive IIA assumption. Despite these theoretical advantages, the estimation of mixed logit models becomes cumbersome when the model's complexity increases. Applied works therefore often rely on rather simple empirical specifications as this reduces the computational burden. I introduce the user-written command lslogit which fits complex mixed logit models using maximum simulated likelihood methods. As lslogit is a d2-ML-evaluator written in Mata, the estimation is rather efficient compared to other routines. It allows the researcher to specify complicated structures of unobserved heterogeneity and to choose from a set of frequently used functional forms for the direct utility function---e.g., including Box-Cox transformations which are difficult to estimate in the context of logit models. The particular focus of lslogit is on the estimation of labor supply models in the discrete choice context and therefore it facilitates several computational exhausting but standard tasks in this research area. However, the command can be used in many other applications of mixed logit models as well.
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