Estimation of the Multinomial Logit Model with Random Effects

Nikolaj Malchow-Møller, Michael Svarer*

*Corresponding author for this work

    Research output: Contribution to journalJournal articleResearchpeer-review


    In the present paper, it is shown how to perform estimation of the random effects multinomial logit model in the SAS program. Inference in the random effects multinomial logit model is complicated because it requires evaluation of multi-dimensional integrals. Presumably for this reason, no statistical software packages allow for direct estimation of the model. It is shown how modifications of the likelihood function enable the applied researcher to make inference using SAS. While the procedure works well for small samples/models, estimation time might become considerable for larger samples/models. A possible explanation for this is provided.
    Original languageEnglish
    JournalApplied Economics Letters
    Pages (from-to)389-392
    Number of pages4
    Publication statusPublished - 2003

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