[Limdep Nlogit List] correlated random parameters

Ellen Van Loo Ellen.VanLoo at UGent.be
Sat Mar 19 10:09:41 AEDT 2016


Dear NLOGIT users,

I have a question about how to derived the standard deviations based on the Cholesky matrix L in case of correlated random parameters.
I am reading the section 15.3.6 (page 636) in the book Hensher et al. (2015), applied choice analysis, 2nd edition.
On page 639, close to the bottom of the page,
it reads:
"The second (i.e., sdCRINVT) is (0.00253^2+0.05049^2)^(1/2)=0.00128. Readers can use this logic to calculate sdCOST."

Question 1: Calculation sdCRINVT
I believe 0.00253^2+0.05049^2)^(1/2)=0.05055 and not 0.00128.
But none of these 2 are the sdCRINVT reported in the Table on top of page 639 (here sdCRINVT=0.07906).

Question 2: Calculation sdCOST
How would you calculate sdCOST? According to the table it is 0.28348.
I would do (0.17326^2+0.00158^2+0.01348^2)^(1/2)=0.2195

Thanks for your advice,
Ellen





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