NLOGIT is an extension of the econometric and statistical software package

LIMDEP LIMDEP is an econometric and statistical software package with a variety of estimation tools. In addition to the core econometric tools for analysis of cross sections and time series, LIMDEP supports methods for panel data analysis, frontier and e ...

. In addition to the estimation tools in LIMDEP, NLOGIT provides programs for estimation, model simulation and analysis of multinomial choice data, such as brand choice, transportation mode and for survey and market data in which consumers choose among a set of competing alternatives. In addition to the economic sciences, NLOGIT has applications in biostatistics, noneconomic social sciences, physical sciences, and health outcomes research.

History

Econometric Software, Inc. was founded in the early 1980s by William H. Greene. NLOGIT was released in 1996 with the development of the FIML nested logit estimator, originally an extension of the multinomial logit model in LIMDEP. The program derives its name from the Nested LOGIT model. With the additions of the multinomial probit model and the mixed logit model among several others, NLOGIT became a self standing superset of LIMDEP.

Models

NLOGIT is a full information maximum likelihood estimator for a variety of multinomial choice models. NLOGIT includes the discrete estimators in LIMDEP plus model extensions for

multinomial logit In statistics, multinomial logistic regression is a classification method that generalizes logistic regression to multiclass problems, i.e. with more than two possible discrete outcomes. That is, it is a model that is used to predict the prob ...

(many specifications), random parameters mixed logit, random regret logit, WTP space specifications in mixed logit, scaled multinomial logit,

nested logit In economics, discrete choice models, or qualitative choice models, describe, explain, and predict choices between two or more discrete alternatives, such as entering or not entering the labor market, or choosing between modes of transport. Such ...

multinomial probit In statistics and econometrics, the multinomial probit model is a generalization of the probit model used when there are several possible categories that the dependent variable can fall into. As such, it is an alternative to the multinomial log ...

, heteroscedastic extreme value, error components, heteroscedastic logit and

latent class model In statistics, a latent class model (LCM) relates a set of observed (usually discrete) multivariate variables to a set of latent variables. It is a type of latent variable model. It is called a latent class model because the latent variable is discr ...

Data Analysis

NLOGIT is typically used to analyze individual, cross section data on consumer choices and decisions from multiple alternatives. Analysis may also include market shares or frequency data, data on rankings of alternatives, and panel data from repeated observation of choice situations. The inference tools for hypothesis testing include the

Wald WALD (1080 kHz) is an AM radio station licensed to Johnsonville, South Carolina. The station is part of the Worship and Word Network and is owned by Glory Communications, Inc., based in St. Stephen, South Carolina. It carries an Urban Gosp ...

likelihood ratio The likelihood function (often simply called the likelihood) represents the probability of random variable realizations conditional on particular values of the statistical parameters. Thus, when evaluated on a given sample, the likelihood functi ...

and

Lagrange multiplier In mathematical optimization, the method of Lagrange multipliers is a strategy for finding the local maxima and minima of a function subject to equality constraints (i.e., subject to the condition that one or more equations have to be satisfied ex ...

tests and tools for

discrete choice analysis In economics, discrete choice models, or qualitative choice models, describe, explain, and predict choices between two or more discrete alternatives, such as entering or not entering the labor market, or choosing between modes of transport. Such ...

, including built-in procedures for testing the IIA assumption of the multinomial logit model. The models estimated by NLOGIT can be used in ‘what if’ analyses using the model simulation package. The base case model produces fitted probabilities data that aggregate to a prediction of the sample shares for the alternatives in the choice set. The simulator is then used, with the estimation data set or any other compatible data set, to recompute these shares under specified scenarios, such as a change in the price of a particular alternative or a change in household incomes.

Notes

References

* Chang, Jae Bong and Lusk, Jayson (2011). "Mixed Logit Models: Accuracy and Software Choice". ''Journal of Applied Econometrics'' 26: 167-172. * Greene, William and Hensher, David (2010). ''Modeling Ordered Choices''. Cambridge University Press.

External links

*{{Official website, http://www.nlogit.com/
LIMDEPDemonstration of NLOGIT by KV Krishna Rao
Econometrics software Proprietary software