Hi, first time poster here.
I am trying to estimate a Maximum Likelihood estimator in a consumer
choice problem. A consumer plays several price games where they rank
combinations of brands and prices. There are 8 Brands, dummies B(0) to
B(7), one of which is an outside good, which has price zero and is
normalized to give utility of zero. I'm only concerned with their
choice of ranking a good 1st place, and want to estimate this.
Utility(j) is given by Beta(j)*B(j) - alpha*P(j). The coefficients
trying to be estimated are Beta1-Beta7 and alpha.
I know Stata has the asclogit command command, but I'm trying to do it manually.
My problem is that in the probability function given to me includes
the B(j)'s and alpha more than once, and so I need the same
coefficients to appear several times. The ml code in stata seems to
want to assign different coefficients at each estimation, and I have
no idea how to get around this.
The probability function is...
Pr(j=1) = exp{Beta(j)*B(j) - alpha*p(j)} / ?(k=0 to 7) [
exp{Beta(k)*B(k) - alpha*p(k)}]
or as I've tried below...
Pr(j=1) = exp{u(j)} / ?(k=0 to 7) [ u(k) ]
I've come up with the likelihood estimator, based on the Stata help
guide and what I could find from Google Books. I think it's fine, but
given that I *have* to estimate alpha and the betas at least twice,
how to keep them the same in all instances? I tried manually writing
in `alpha'*price and so forth in the program definition, but that
gives errors. Any help at all would be appreciated.
{some code..}
gen Rank1 = rank == 1
program utility1
args lnf uj u1 u2 u3 u4 u5 u6 u7
qui replace `lnf' = ///
`uj' - ln(1 + exp(`u1')+ exp(`u2') + exp(`u3')+ exp(`u4') ///
+ exp(`u5')+ exp(`u6') + exp(`u7')) if $ML_y1==1
qui replace `lnf' = ///
ln(1 + exp(`u1')+ exp(`u2') + exp(`u3')+ exp(`u4') ///
+ exp(`u5')+ exp(`u6') + exp(`u7') - exp(`uj')) ///
- ln(1 + exp(`u1')+ exp(`u2') + exp(`u3')+ exp(`u4') ///
+ exp(`u5')+ exp(`u6') + exp(`u7')) if $ML_y1==0
end
ml model lf utility1 (Rank1=) (uj: b1 b2 b3 b4 b5 b6 b7 price, noconstant) ///
(u1: b1 b2 b3 b4 b5 b6 b7 p1, noconstant) ///
(u2: b1 b2 b3 b4 b5 b6 b7 p2, noconstant) ///
(u3: b1 b2 b3 b4 b5 b6 b7 p3, noconstant) ///
(u4: b1 b2 b3 b4 b5 b6 b7 p4, noconstant) ///
(u5: b1 b2 b3 b4 b5 b6 b7 p5, noconstant) ///
(u6: b1 b2 b3 b4 b5 b6 b7 p6, noconstant) ///
(u7: b1 b2 b3 b4 b5 b6 b7 p7, noconstant)
Thanks,
-Mike
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