[Limdep Nlogit List] random parameters logit

[William Greene]

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
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