Thanks to Kit Baum, a new package called -clogithet- is
available from SSC.
-clogithet- fits a heteroscedastic version of McFadden's conditional
logit model. This model is also referred to as the parametrised
heteroscedastic multinomial logit model (Hensher et al., 1999) and the
heteroscedastic logit model (DeShazo and Fermo, 2002; Hole, 2006).
Like -hetprob-, -clogithet- models the relationship between the error
variance and a list of user-specified variables. The variables related
to the error variance must be constant within groups, i.e. they must
be characteristics of the decision-maker rather than alternative
attributes.
References:
DeShazo, J.R., Fermo, G., 2002. Designing choice sets for stated preference
methods: the effects of complexity on choice consistency. Journal of
Environmental Economics and Management 44, 123-143.
Hensher, D., Louviere, J., Swait, J., 1999. Combining sources of
preference data. Journal of Econometrics 89, 197-221.
Hole, A.R., 2006. Small-sample properties of tests for
heteroscedasticity in the conditional logit model, HEDG Working Paper
06/04. Available at
www.york.ac.uk/res/herc/pdfs/wp/06_04.pdf
To install the package, type
. ssc install clogithet
Best,
Arne
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