[Limdep Nlogit List] Endogeniety and Mixed logit model

William Greene wgreene at stern.nyu.edu
Fri Aug 24 13:02:08 EST 2007


Dear Sanatan. The Berry Levinsohn-Pakes methodology that Aviv Nevo is writing about
is a (maybe the) way to handle endogenous prices in a logit model for aggregate
shares.  That I know of, however, the method has not been extended to a general
random parameters specification.  The BLP method is not yet build into LIMDEP,
unfortunately.
/B. Greene

************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: sshreay at mail.wsu.edu
Date: Thursday, August 23, 2007 6:58 pm
Subject: [Limdep Nlogit List] Endogeniety and Mixed logit model

> Hello,
> I have an aggregate panel data and I am trying to calculate 
> elastcities of
> differentiated products using mixed logit model. In my model I have
> price,attributes and demographics variables. I am getting results 
> but in
> literatures it has been reported that price is endogenous. My specific
> question is how to deal with endogenous variable in mixed logit 
> model? To
> my understanding if I am estimating using full information 
> likelihood and
> somehow indicate that price is endogenous then it will be fine?. 
> Can I do
> this in LIMDEP? I am aware that Aviv Nevo has a matlab code for
> differentiated product elasticity estimation but I have always 
> worked with
> LIMDEP and hope some one can help me.
> Thanks,
> Sanatan,
> PhD student
> School of Economics,
> Washington State University,
> Pullman,WA-99163
> 
> 
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> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
> 




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