Estimation of the multinomial logit model with random effects

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 statistic...

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Bibliographic Details
Published inApplied economics letters Vol. 10; no. 7; pp. 389 - 392
Main Authors Malchow-Møller, Nikolaj, Svarer, Michael
Format Journal Article
LanguageEnglish
Published Taylor & Francis Group 10.06.2003
Taylor and Francis Journals
SeriesApplied Economics Letters
Online AccessGet full text
ISSN1350-4851
1466-4291
DOI10.1080/1350485032000082018

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Summary: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.
ISSN:1350-4851
1466-4291
DOI:10.1080/1350485032000082018