Nested logit seems like a good choice, in theory. -help nlogit-.
Much depends on the nature of the choices and why IIA fails. If it just fails a little, I would probably still consider it a viable assumption. If it fails badly and there are good reasons why, look for a different model.
For instance if the choice set is among three modes of transportation to work (hey, it's tradition!),
{Car, Bus, Train},
Bus and Train might be expected to share similarity because both are mass transit whereas car is private. Nested logit wold let you make the choice essentially become first {Car, Mass Transit} and then, assuming Mass Transit is chosen, {Bus, Train}.
-----Original Message-----
From: "Paley, Irina" <[email protected]>
To: "[email protected]" <[email protected]>
Sent: 4/20/2009 6:32 PM
Subject: st: Categorical dependent variable models
Dear statalist members,
Thanks for your previous help in my search for the right model, I am hoping you can prod me a little further.
I want to estimate the effect of gender on the choice between 3 types of products, and the data I have only has consumer characterisics (I can stretch it somewhat to get a couple of product characteristics, though). the data fails the iia assumption, so I want to use something more fitting than mlogit.
Is there a model, perhaps a variant of mixed logit or multinomial probit, that can allow me to have only consumer specific characteristics, and that would allow me to circumvent the assumption of uncorrelated outcome specific errors?
I would really appreciate your suggestions.
Thanks,
Irina
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Martin Weiss
Sent: Monday, April 20, 2009 6:04 PM
To: [email protected]
Subject: st: Re: GMM-estimation of probit models
<>
I do not think that there is a routine at the moment, yet this problem is very similar (I imagine) to the one that Austin presented in Chicago, July
2008: http://www.stata.com/meeting/snasug08/nichols_gmm.pdf
If you can tweak those moment conditions from poisson to probit, you can write the thing yourself... Also note the command -findit ivpois-
HTH
Martin
_______________________
----- Original Message -----
From: "Carlos Soares" <[email protected]>
To: <[email protected]>
Sent: Monday, April 20, 2009 11:54 PM
Subject: st: GMM-estimation of probit models
> Dear Statalisters,
>
> Would any of you know of a Stata routine to run GMM-estimation of
> probit models with endogenous regressors?
>
> Thanks,
>
> Carlos
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