st: Re: non i.i.d. observations in -nlogit-

["Sascha O. Becker" <sascha.becker@gmx.de>]

Dear Nick,

> nlogit allows specification of nests, i.e. groups of
> observations across which, but not within, correlations are
> allowed. (Have a look at "help nlogit" in stata). gllamm
> allows specification of mixed logit models, allowing yet more
> freedom to allow correlated observations.

My understanding is that nests in -nlogit- take care of correlation in 
the error terms of latent utilities across choices of the same individual.

What I want is non i.i.d. observations, i.e. allow for correlations in 
the error terms across different individuals ON TOP OF the nested 
structure across choices.

As I wrote in my earlier message: In the restaurant example in the Stata 
manual we have nests for different restaurant types (fast food, family 
restaurants and fancy restaurants) but we still assume that choices made 
by DIFFERENT families are uncorrelated (i.e. they are i.i.d.)
In real life, restaurant choices of families (those are the units of 
observation) in the same neighborhood may be correlated because families 
in the same neighborhood have similar (unobserved) tastes.
That's the case I am looking for.

Cheers,

Sascha

--

Dr. Sascha O. Becker
Center for Economic Studies
University of Munich
Schackstr. 4 - 80539 Munich, Germany
Tel +49 (89) 2180-6252   http://www.lmu.de
Fax +49 (89) 39 73 03    sbecker@lmu.de
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