[Limdep Nlogit List] RPLOGIT does not allow for proper heterogeneity in the variances

Yang, Yang yang.yang at usask.ca
Sat Apr 22 08:08:10 AEST 2017


​Dear Nlogit Users,


I estimated a random parameter logit model using Nlogit 6. In total, there are 6 random parameters, with 3 of them were specified as heterogeneous around the means and variances and the rest 3 were homogeneous and homoscedastic. However, the combination of binary values in fcn(# !) does not give proper estimation results. The codes and results are shown in the P.S.


In my case, it seems like "#" works well, but the "!" does not provide correct parameter estimates, i.e., parameters specified with fcn(!00) are still heteroscedastic. I appreciate if anyone can advise what may cause the problem and how to fix it. Thank you very much!


Yang


P.S.


SAMPLE  ; all $
TIMER $
CALC  ; ran(712) $
RPLOGIT  ; lhs = choice, cset, alti
                 ; choices = A, B, C, D
                 ; pds = 6
                 ; model:u(A) = 0 + pnb*nb + pae*ae + pge*pm1 + pgm*pm2 + pec*pm3 + ppri*pri /
                                u(B) = 0 + pnb*nb + pae*ae + pge*pm1 + pgm*pm2 + pec*pm3 + ppri*pri /
                                u(C) = 0 + pnb*nb + pae*ae + pge*pm1 + pgm*pm2 + pec*pm3 + ppri*pri /
                                u(D) = d
                 ; output=IC
                 ; halton
                 ; pts = 100
                 ; maxit = 200
                 ; rpl = b_no, bp_narr
                 ; hfr = b_no, bp_narr
                 ; fcn = pnb(n|#00!00), pae(n|#00!00), pge(n|#11!11), pgm(n|#11!11), pec(n|#11!11), ppri(o|#00!00) ​
                 ; par
                 ; wtp = pnb/ppri, pae/ppri, pge/ppri, pgm/ppri, pec/ppri  $




       |                  Standard            Prob.      95% Confidence
  CHOICE|  Coefficient       Error       z    |z|>Z*         Interval
--------+--------------------------------------------------------------------
        |Random parameters in utility functions..............................
     PNB|     .73332***      .19034     3.85  .0001      .36026   1.10638
     PAE|    -.02348         .16747     -.14  .8885     -.35171    .30474
     PGE|   -1.66754***      .25230    -6.61  .0000    -2.16204  -1.17304
     PGM|   -2.46845***      .26151    -9.44  .0000    -2.98099  -1.95590
     PEC|   -2.53523***      .25533    -9.93  .0000    -3.03567  -2.03479
    PPRI|   -1.89376***      .06111   -30.99  .0000    -2.01354  -1.77398
        |Nonrandom parameters in utility functions...........................
       D|   -9.59739***      .27756   -34.58  .0000   -10.14140  -9.05337
        |Heterogeneity in mean, Parameter:Variable...........................
 PNB:B_N|        0.0    .....(Fixed Parameter).....
 PNB:BP_|        0.0    .....(Fixed Parameter).....
 PAE:B_N|        0.0    .....(Fixed Parameter).....
 PAE:BP_|        0.0    .....(Fixed Parameter).....
 PGE:B_N|    -.68219**       .33986    -2.01  .0447    -1.34830   -.01608
 PGE:BP_|    1.00234***      .29651     3.38  .0007      .42120   1.58348
 PGM:B_N|    -.61873*        .35717    -1.73  .0832    -1.31877    .08131
 PGM:BP_|     .68697**       .28617     2.40  .0164      .12609   1.24786
 PEC:B_N|     .68527**       .29930     2.29  .0220      .09866   1.27188
 PEC:BP_|     .26818         .34257      .78  .4337     -.40325    .93961
PPRI:B_N|        0.0    .....(Fixed Parameter).....
PPRI:BP_|        0.0    .....(Fixed Parameter).....
        |Distns. of RPs. Std.Devs or limits of triangular....................
   NsPNB|    3.63726***      .25251    14.40  .0000     3.14235   4.13218
   NsPAE|    2.51460***      .20341    12.36  .0000     2.11591   2.91328
   NsPGE|    1.88191***      .23768     7.92  .0000     1.41606   2.34776
   NsPGM|    1.76437***      .23479     7.51  .0000     1.30418   2.22456
   NsPEC|    1.60885***      .22581     7.12  .0000     1.16627   2.05143
  TsPPRI|    1.89376***      .06111    30.99  .0000     1.77398   2.01354
        |Heteroscedasticity in random parameters.............................
 sPNB|B_|    -.23051**       .10233    -2.25  .0243     -.43108   -.02994
 sPNB|BP|    -.10699         .09936    -1.08  .2816     -.30173    .08776
 sPAE|B_|    -.03226         .13381     -.24  .8095     -.29451    .23000
 sPAE|BP|     .05959         .11095      .54  .5912     -.15786    .27704
 sPGE|B_|    -.03325         .19776     -.17  .8665     -.42086    .35435
 sPGE|BP|    -.29729         .22377    -1.33  .1840     -.73587    .14128
 sPGM|B_|    -.42754         .31790    -1.34  .1787    -1.05061    .19554
 sPGM|BP|   -29.1298      .6985D+12      .00 1.0000 ***********  ***********
 sPEC|B_|    -.44708         .33378    -1.34  .1804    -1.10129    .20712
 sPEC|BP|     .49542***      .17826     2.78  .0054      .14604    .84479
sPPRI|B_|     .34530***      .08448     4.09  .0000      .17971    .51088
sPPRI|BP|     .17615**       .07949     2.22  .0267      .02036    .33194
--------+--------------------------------------------------------------------



________________________________
Yang Yang, PhD candidate
Department of Agricultural and Resource Economics
College of Agriculture and Bioresources
University of Saskatchewan, Canada
Email: yang.yang at usask.ca








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