[Limdep Nlogit List] Log likelihood values
William Greene
wgreene at stern.nyu.edu
Thu May 17 04:50:19 EST 2007
Mr. Choi. No, it is not correct. You only sum the logs of the probabilities for
the choices actually made. For example, here's a routine that does it.
nlog;lhs=mode;rhs=one,gc,ttme;prob=pri;choices=air,train,bus,car$$
crea;jpri=mode*pri$
reje;jpri=0$
crea;logp=log(jpri)$
calc;list;sum(logp)$
/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
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************
----- Original Message -----
From: Andy Sungnok Choi <Andy.Choi at anu.edu.au>
Date: Wednesday, May 16, 2007 10:21 am
Subject: [Limdep Nlogit List] Log likelihood values
> Dear all,
>
> I wonder how LIMDEP calculates LL values when MNL or ML models are
> applied.
> When I calculated manually, the results did not get close to LL
> values
> estimated by LIMDEP.
>
> Is the following wrong?
>
> 1. use ";prob=prob1" (in the syntax of MNL or ML models) to
> indicate
> probabilities of individual alternatives to be chosen
> 2. use "log(prob1) x choice" for LL values of individual
> alternatives
> (choice=0 or 1)
> 3. sum up all LL values.
>
> If this procedure is not right, how can I get probabilities of
> individual
> alternatives correctly? FYI, I am carrying out the test for model
> selection
> of Vuong (1989), when models are overlapping.
>
> Many thanks.
>
> Andy S. Choi
>
> PhD Candidate
> Australian National University
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