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I'm learning S+, and I'd like to re-program some
work I initially did using another package (Gauss). One piece of that work
requires a three choice nested logit regression (with 2 choices forming one
branch and the other choice forming the other branch).
1. Does someone know of an S program that does this estimation
simultaneously (not sequentially), with good numerical properties. I wrote
one in Gauss and can translate it into S, but if I can avoid the big learning
curve I'll be happy. (I took the inclusive value as given, and used
Gauss's maximum likelihood routine to find the optimum. I did this as a
grid search over inclusive values, getting to finer and finer grid levels as I
reached the optimum, so that I ended up with the inclusive value that yielded
the max of the max likelihoods, and the corresponding parameters and other model
output.)
2. I hear S+ has a maximum likelihood routine with some flexibility
to choose solving methods. Any tips on it?
Thanks.
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