[Limdep Nlogit List] random parameters logit

Fri Nov 5 18:15:41 EST 2010

Dear prof. Greene,

Did you receive the e-mail below? Thanks in advance for your reply.

Kind regards,
Marjolein Harmsen - van Hout

-----Original Message-----
From: Marjolein Harmsen - van Hout [mailto:marjolein.harmsen at rwth-aachen.de] 
Sent: vrijdag 15 oktober 2010 11:18
To: 'Limdep and Nlogit Mailing List'
Subject: RE: [Limdep Nlogit List] random parameters logit

Dear prof. Greene,

After imposing a starting value of zero on the interaction term in the second model, I keep getting the same output as before whereas it should be equal to the first model then. Therefore, I'm afraid the difference might not be due to the starting values. If your theory (2) is correct, in how far should I mistrust the results from the second model? Thanks in advance.

Best regards,
Marjolein Harmsen - van Hout

-----Original Message-----
From: limdep-bounces at limdep.itls.usyd.edu.au [mailto:limdep-bounces at limdep.itls.usyd.edu.au] On Behalf Of William Greene
Sent: vrijdag 17 september 2010 18:38
To: Limdep and Nlogit Mailing List
Subject: Re: [Limdep Nlogit List] random parameters logit

Dear Marjolein. Evidently the log likelihood has more than one mode.
Also, I have seen other cases in which the starting values affect whether the estimator is able to converge. This can happen when there is more than mode or the likelihood function is complex, as it is for a mixed logit model.  Notice that the function value in your second model is lower than the first. This is the negative of the log likelihood, so the second estimates are noticeably better than the first. I would trust the second set of results. One remaining possibility is to try other starting values using ;Start=list of values (look in the final results for the correct ordering).
/Bill Greene

----- Original Message -----
From: "Marjolein Maria Juliette Harmsen-van Hout" <Marjolein.harmsen at rwth-aachen.de>
To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
Sent: Friday, September 17, 2010 11:08:43 AM GMT -05:00 US/Canada Eastern
Subject: Re: [Limdep Nlogit List] random parameters logit

Dear prof. Greene,

Thanks for your reply. Even estimation with 500 Halton draws provides the same difference. Moreover, the program claims normal exit for both models: 

1st model: "* Converged Normal exit from iterations. Exit status=0. Function=  .11994470974D+04, at entry,  .11904739292D+04 at exit Error  1027: Models - estimated variance matrix of estimates is singular"

2nd model: "* Converged Normal exit from iterations. Exit status=0. Function=  .11906631459D+04, at entry,  .11817440931D+04 at exit +---------------------------------------------+ | Random Parameters Logit Model etcetera"

In case of either of your suggested possibilities, in how far can I trust the estimations found with my 2nd model?

Best regards,
Marjolein Harmsen - van Hout

On 17/09/10, William Greene  <wgreene at stern.nyu.edu> wrote:

> Dear Marjolein. It does appear that the two commands should produce 
> the same model and, using Halton draws, the same results.
> I can see two possibilities:
> (1) Although the models are the same, the starting values for the 
> mixed logit estimates are not the same in the two cases. In the first 
> case, the starting value for the interaction term would be zero. In 
> the second, it would be the MNL coefficient.  It is possible that the 
> mixed logit has the kind of ill behaved log likelihood that would 
> produce this result.
> (2) A less likely possibility is that rounding error in the 
> computations in the first case is producing the problem. This would 
> imply that the data set is very badly conditioned.
> Theory (1) sound more likely to me.  The second set of results are 
> obviously to be preferred. I would add ;OUTPUT=3 to your command to 
> display the derivatives during the solution, and verify that you 
> really did get a normal exit from the optimizer with the second specification.
> I would also suggest increasing the number of draws to, say, 100. This 
> may help.
> /Bill Greene
> 
> ----- Original Message -----
> From: "Marjolein Maria Juliette Harmsen-van Hout" 
> <Marjolein.harmsen at rwth-aachen.de>
> To: limdep at limdep.itls.usyd.edu.au
> Sent: Friday, September 17, 2010 4:24:05 AM GMT -05:00 Colombia
> Subject: Re: [Limdep Nlogit List] random parameters logit
> 
> 
> Dear all,
> As I did not receive any reply to my previous message, I hereby send it once more. If you need more information, please notify me. Thanks!
> 
> On 25/08/10, "Marjolein Maria Juliette Harmsen-van Hout"  <Marjolein.harmsen at rwth-aachen.de> wrote:
> 
> > > Dear all,
> > > 
> > > I encountered the following puzzle with my dataset:
> > > 
> > >  NLOGIT;
> > >  Lhs=CHOICE,CSET,ALT;
> > >  Rhs=VAR1;
> > >  Pds=PER;
> > >  Rpl=VAR2;
> > >  Fcn=VAR1(N);
> > >  Halton;Pts=20$	
> > > 
> > > leads to Error 1027: Models - estimated variance matrix of estimates is singular, whereas:
> > > 
> > >  CREA;VAR1_VAR2=VAR1*VAR2$
> > >  NLOGIT;
> > >  Lhs=CHOICE,CSET,ALT;
> > >  Rhs=VAR1,VAR1_VAR2;
> > >  Pds=PER;
> > >  Rpl;
> > >  Fcn=VAR1(N);
> > >  Halton;Pts=20$        	
> > > 
> > > provides normal estimations. Does anybody have an idea how this could be possible?
> > > 
> > > Thanks in advance for your reaction!
> > > 
> > > Kind regards,
> > > ____________________________________________________________
> > > 
> > > Dr. drs. Marjolein Harmsen - van Hout Post-doctoral researcher
> > > 
> > > Tel.: +49 241 80 49835
> > > Fax: +49 241 80 49829
> > > E-mail: mharmsen at eonerc.rwth-aachen.de
> > > Website: www.eonerc.rwth-aachen.de
> > > 
> > > Lehrstuhl für Wirtschaftswissenschaften, insb. Energieökonomik 
> > > Institute for Future Energy Consumer Needs and Behavior (FCN) E.ON 
> > > Energy Research Center (E.ON ERC) RWTH Aachen University 
> > > Mathieustraße 6, D-52074 Aachen Germany 
> > > ____________________________________________________________
> --
> ____________________________________________________________
> 
> Dr. drs. Marjolein Harmsen - van Hout
> Post-doctoral researcher
> 
> Tel.: +49 241 80 49835
> Fax: +49 241 80 49829
> E-mail: mharmsen at eonerc.rwth-aachen.de
> Website: www.eonerc.rwth-aachen.de
> 
> Lehrstuhl für Wirtschaftswissenschaften, insb. Energieökonomik 
> Institute for Future Energy Consumer Needs and Behavior (FCN) E.ON 
> Energy Research Center (E.ON ERC) RWTH Aachen University Mathieustraße 
> 6, D-52074 Aachen Germany 
> ____________________________________________________________
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
--
____________________________________________________________

Dr. drs. Marjolein Harmsen - van Hout
Post-doctoral researcher

Tel.: +49 241 80 49835
Fax: +49 241 80 49829
E-mail: mharmsen at eonerc.rwth-aachen.de
Website: www.eonerc.rwth-aachen.de

Lehrstuhl für Wirtschaftswissenschaften, insb. Energieökonomik Institute for Future Energy Consumer Needs and Behavior (FCN) E.ON Energy Research Center (E.ON ERC) RWTH Aachen University Mathieustraße 6, D-52074 Aachen Germany ____________________________________________________________
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