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Estimation of the multinomial logit model with random effects

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  • Nikolaj Malchow-Møller
  • Michael Svarer

Abstract

In the present paper, it is shown how to perform estimation of the random effects multinomial logit model in the SAS program. Inference in the random effects multinomial logit model is complicated because it requires evaluation of multi-dimensional integrals. Presumably for this reason, no statistical software packages allow for direct estimation of the model. It is shown how modifications of the likelihood function enable the applied researcher to make inference using SAS. While the procedure works well for small samples/models, estimation time might become considerable for larger samples/models. A possible explanation for this is provided.

Suggested Citation

  • Nikolaj Malchow-Møller & Michael Svarer, 2003. "Estimation of the multinomial logit model with random effects," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 389-392.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:7:p:389-392
    DOI: 10.1080/1350485032000082018
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    Cited by:

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    6. Gebru, Bahre & Elofsson, Katarina, 2023. "The role of forest status in households’ fuel choice in Uganda," Energy Policy, Elsevier, vol. 173(C).

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