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Mixed logit modelling in Stata An overview

Mixed logit modelling in Stata -An overviewArne Risa HoleUniversity of She eldUK Stata Users Group meetingSeptember 20131/43 BackgroundThe conditional logit model (McFadden, 1974) is the workhorse model for analysing discrete choice dataWhile widely used this model has several well-knownlimitations:Cannot account for preference heterogeneity amongrespondents (unless it s related to observables)IIA property: can lead to unrealistic predictionsThis has led researchers in various disciplines to consider more exible alternativesThe Mixed logit model extends the standard conditional logitmodel by allowing one or more of the parameters in the modelto be randomly distributed2/43 Mixed logit models in Stata (pre Stata 13)O cial Stata :xtmelogitUser written:gllammmixlogitlclogitgmnlbayesml ogitlslogitI will give examples of the use of some of these commands inthis talk3/43 OutlineTheoretical foundations - the random utility modelMixed logit with continuous distributions (mixlogit) Mixed logit with discrete distributions (lclogit)Generalised multinomial logit (gmnl)Bayesian Mixed logit (bayesmlogit)4/43 The random utility modelThe utility decision makernobtains from choosing alternativejis given byUnj=Vnj+ njwhereVnjis a function of observable attributes of thealternatives,xnj, and of the decision mak

Extension: the mixed logit model The mixed logit model overcomes these limitations by allowing the coe¢ cients in the model to vary across decision makers The mixed logit choice probability is given by: P ni = Z exp(x0 ni b) åJ j=1 exp(x 0 njb) f (bjq)db where f (bjq) is the density function of b Allowing the coe¢ cients to vary implies that ...

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