Title stata.

com
cmclogit — Conditional logit (McFadden’s) choice model

Description Quick start Menu Syntax

Options Remarks and examples Stored results Methods and formulas
References Also see

Description
cmclogit fits McFadden’s choice model, which is a specific case of the more general conditional
logistic regression model fit by clogit.
The command requires multiple observations for each case (representing one individual or decision
maker), where each observation represents an alternative that may be chosen. cmclogit allows
two types of independent variables: alternative-specific variables, which vary across both cases and
alternatives, and case-specific variables, which vary across only cases.

Quick start
McFadden’s choice model of y on alternative-specific variable x1 using cmset data
cmclogit y x1
As above, and add indicators for levels of x2, which are constant within case
cmclogit y x1, casevars(i.x2)
As above, but omit alternative-specific intercepts
cmclogit y x1, casevars(i.x2) noconstant
Include only case-specific covariates (equivalent to mlogit when data are balanced)
cmclogit y, casevars(i.x2 x3)

Menu
Statistics > Choice models > Conditional logit (McFadden’s choice) model

1
 2 cmclogit — Conditional logit (McFadden’s) choice model

Syntax
         
cmclogit depvar indepvars if in weight , options

depvar equal to 1 identifies the chosen alternatives, whereas a 0 indicates the alternatives that were
not chosen. There can be only one chosen alternative for each case.

options Description
Model
casevars(varlist) case-specific variables
basealternative(# | lbl | str) set base alternative
noconstant suppress alternative-specific constant terms
altwise use alternativewise deletion instead of casewise deletion
offset(varname) include varname in model with coefficient constrained to 1
constraints(constraints) apply specified linear constraints
SE/Robust
vce(vcetype) vcetype may be oim, robust, cluster clustvar, bootstrap,
or jackknife
Reporting
level(#) set confidence level; default is level(95)
or report odds ratios and relative-risk ratios
noheader do not display the header on the coefficient table
nocnsreport do not display constraints
display options control columns and column formats, row spacing, line width,
display of omitted variables and base and empty cells, and
factor-variable labeling
Maximization
maximize options control the maximization process; seldom used
collinear keep collinear variables
coeflegend display legend instead of statistics
You must cmset your data before using cmclogit; see [CM] cmset.
indepvars and varlist may contain factor variables; see [U] 11.4.3 Factor variables.
bootstrap, by, collect, fp, jackknife, and statsby are allowed; see [U] 11.1.10 Prefix commands.
Weights are not allowed with the bootstrap prefix; see [R] bootstrap.
fweights, iweights, and pweights are allowed (see [U] 11.1.6 weight), but they are interpreted to apply to cases
as a whole, not to individual observations. See Use of weights in [R] clogit.
collinear and coeflegend do not appear in the dialog box.
See [U] 20 Estimation and postestimation commands for more capabilities of estimation commands.

Options

 Model
casevars(varlist) specifies the case-specific numeric variables. These are variables that are constant
for each case. If there are a maximum of J alternatives, there will be J − 1 sets of coefficients
associated with each casevar.
 cmclogit — Conditional logit (McFadden’s) choice model 3

basealternative(# | lbl | str) sets the alternative that normalizes the level of utility. The base
alternative may be specified as a number when the alternatives variable is numeric, as a label
when it is numeric and has a value label, or as a string when it is a string variable. The default
is the alternative with the highest frequency of being chosen. This option is ignored if neither
alternative-specific constants nor case-specific variables are specified.
If vce(bootstrap) or vce(jackknife) is specified, you must specify the base alternative. This
is to ensure that the same model is fit with each call to cmclogit.
noconstant suppresses the J − 1 alternative-specific constant terms.
altwise specifies that alternativewise deletion be used when omitting observations because of
missing values in your variables. The default is to use casewise deletion; that is, the entire group
of observations making up a case is omitted if any missing values are encountered. This option
does not apply to observations that are excluded by the if or in qualifier or the by prefix; these
observations are always handled alternativewise regardless of whether altwise is specified.
offset(varname), constraints(numlist | matname); see [R] Estimation options.

 SE/Robust
vce(vcetype) specifies the type of standard error reported, which includes types that are derived
from asymptotic theory (oim), that are robust to some kinds of misspecification (robust), that
allow for intragroup correlation (cluster clustvar), and that use bootstrap or jackknife methods
(bootstrap, jackknife); see [R] vce option.

 Reporting
level(#); see [R] Estimation options.
or reports the estimated coefficients transformed to odds ratios for alternative-specific variables and
relative-risk ratios for case-specific variables. That is, eb rather than b is reported. Standard errors
and confidence intervals are transformed accordinly. This option affects how results are displayed,
not how they are estimated. or may be specified at estimation or when replaying previously
estimated results.
noheader prevents the coefficient table header from being displayed.
nocnsreport; see [R] Estimation options.
display options: noci, nopvalues, noomitted, vsquish, noemptycells, baselevels,
allbaselevels, nofvlabel, fvwrap(#), fvwrapon(style), cformat(% fmt), pformat(% fmt),
sformat(% fmt), and nolstretch; see [R] Estimation options.

 Maximization
 
maximize options: difficult, technique(algorithm spec), iterate(#), no log, trace,
gradient, showstep, hessian, showtolerance, tolerance(#), ltolerance(#),
nrtolerance(#), nonrtolerance, and from(init specs); see [R] Maximize. These options are
seldom used.
technique(bhhh) is not allowed.
 
The initial estimates must be specified as from(matname , copy ), where matname is the
matrix containing the initial estimates and the copy option specifies that only the position of each
element in matname is relevant. If copy is not specified, the column stripe of matname identifies
the estimates.
 4 cmclogit — Conditional logit (McFadden’s) choice model

The following options are available with cmclogit but are not shown in the dialog box:
collinear, coeflegend; see [R] Estimation options.

Remarks and examples stata.com

cmclogit fits McFadden’s choice model (McFadden 1974). For a brief introduction, see Greene
(2018, sec. 18.2) or Cameron and Trivedi (2010, sec. 15.5).
cmclogit requires data in long form. For each individual (or decision maker), there are multiple
Stata observations, one for each of the alternatives the individual could have chosen. We call the group
of Stata observations for an individual a “case”. Each case represents a single statistical observation
although it comprises multiple Stata observations. See [CM] Intro 2.
Independent variables for McFadden’s choice model come in two forms: alternative specific and case
specific. Alternative-specific variables vary across cases and within cases by alternative. Case-specific
variables are constant within cases.
We index the set of unordered alternatives by 1, 2, . . . , J . Let yij , j = 1, . . . , J , be an indicator
variable for the alternative chosen by the ith individual (case). That is, yij = 1 if individual i chose
alternative j , and yij = 0 otherwise.
The sets of possible alternatives across individuals, also known as choice sets, can be unbalanced.
That is, choice sets can vary by case. For example, individual 1 could have choice set {1, 2, 3}, and
individual 2 could have choice set {1, 2, 4}. For individual 1, the 4th alternative was unavailable to
be chosen, and for individual 2, the 3rd alternative was unavailable. We take 1, 2, . . . , J to represent
all possible alternatives taken across all individuals.
Assume that we have p alternative-specific variables so that for case i we have a J × p data matrix
Xi . Further, assume that we have q case-specific variables so that we also have a 1 × q data vector
zi for case i. Our random utility model can be expressed as
0
ui = Xi β + (zi A) + i

where ui is the utility for case i, β is a p × 1 vector of alternative-specific regression coefficients,

and A = (α1 , . . . , αJ ) is a q × J matrix of case-specific regression coefficients. The elements of
the J × 1 vector i are independent type I (Gumbel-type) extreme-value random variables with mean
γ (the Euler–Mascheroni constant, approximately 0.577) and variance π 2 /6.
We must fix one of the αj to be the zero vector to normalize the location. We set αk = 0,
where k is specified by the basealternative() option. The vector ui quantifies the utility that the
individual gains from the J alternatives. If alternative j is unavailable to the ith individual, we omit
the j th row in ui . The alternative chosen by individual i is the one that maximizes utility.
McFadden’s choice model is a specific instance of conditional logistic regression. You can use
clogit to obtain the same estimates as cmclogit by specifying the case ID variable used to cmset
your data as the group() variable in clogit. Your case-specific variables in casevars() must be
interacted with each alternative, excluding the interaction associated with the base alternative. The
alternatives variable used to produce this interaction is the alternatives variable used with cmset.
These interactions are included in the clogit estimation along with the alternative-specific variables.
cmclogit does this for you. See Duplicating cmclogit using clogit in [CM] Intro 5 for an example
that uses clogit to reproduce the results from cmclogit.
Before you can fit McFadden’s choice model using cmclogit, you must first cmset your data
to specify which variables in your dataset identify the cases and the alternatives; see [CM] cmset for
information on this command.
 cmclogit — Conditional logit (McFadden’s) choice model 5

Example 1: Consumer car choice data

We have fictitious data on 885 consumers and their choice of automobile. Each consumer chose
among an American, Japanese, European, or Korean car (variable car). We want to explore the
relationship between the choice of car and the consumer’s gender (variable gender) and income
(variable income in thousands of dollars). We also have the number of dealerships of each nationality
in the consumer’s community (variable dealers), which we want to include as a regressor.
The variable dealers is an alternative-specific variable, and gender and income are case-specific
variables. Each consumer’s chosen car is indicated by the variable purchase, a 0/1 variable.
Let’s list some of the data.
. use https://www.stata-press.com/data/r17/carchoice
(Car choice data)
. list consumerid car purchase dealers gender income
> if consumerid <= 4, sepby(consumerid) abbr(10)

consumerid car purchase dealers gender income

1. 1 American 1 9 Male 46.7

2. 1 Japanese 0 11 Male 46.7
3. 1 European 0 5 Male 46.7
4. 1 Korean 0 1 Male 46.7

5. 2 American 1 10 Male 26.1

6. 2 Japanese 0 7 Male 26.1
7. 2 European 0 2 Male 26.1
8. 2 Korean 0 1 Male 26.1

9. 3 American 0 8 Male 32.7

10. 3 Japanese 1 6 Male 32.7
11. 3 European 0 2 Male 32.7

12. 4 American 1 5 Female 49.2

13. 4 Japanese 0 4 Female 49.2
14. 4 European 0 3 Female 49.2

We see that the first consumer, a male earning $46,700 per year, chose to purchase an American car.
The third consumer purchased a Japanese car. The third and fourth consumers do not have the choice
of a Korean car as a possible alternative because there are no Korean automobile dealerships in their
communities.
Before we can run a cm estimation command, we must cmset our data. The first argument to
cmset is the case ID variable, which must be numeric. For these data, it is the variable consumerid,
which identifies individual consumers. The alternatives variable identifies the alternatives that could
have been chosen. In this instance, it is the variable car, which gives the nationality of car, American,
Japanese, European, or Korean.
. cmset consumerid car
note: alternatives are unbalanced across choice sets; choice sets of different
sizes found.
Case ID variable: consumerid
Alternatives variable: car

The message from cmset tells us that the choice sets for these data are unbalanced (which we already
knew from the data listing). The cmchoiceset command will display the choice sets:
6 cmclogit — Conditional logit (McFadden’s) choice model

. cmchoiceset
Tabulation of choice-set possibilities
Choice set Freq. Percent Cum.

1 2 3 380 42.94 42.94

1 2 3 4 505 57.06 100.00

Total 885 100.00

Note: Total is number of cases.

The numeric variable car is labeled so that 1 = American, 2 = Japanese, 3 = European, and
4 = Korean. We see that 43% of the consumers do not have a Korean car dealership in their
communities, and this alternative is not considered available to them. All consumers in these data
have American, Japanese, and European dealerships locally, and everyone has these alternatives in
their choice sets.
We now fit our model.
. cmclogit purchase dealers, casevars(i.gender income)
Iteration 0: log likelihood = -959.21405
Iteration 1: log likelihood = -948.48587
Iteration 2: log likelihood = -948.1217
Iteration 3: log likelihood = -948.12096
Iteration 4: log likelihood = -948.12096
Conditional logit choice model Number of obs = 3,075
Case ID variable: consumerid Number of cases = 862
Alternatives variable: car Alts per case: min = 3
avg = 3.6
max = 4
Wald chi2(7) = 51.03
Log likelihood = -948.12096 Prob > chi2 = 0.0000

purchase Coefficient Std. err. z P>|z| [95% conf. interval]

car
dealers .0448082 .0262818 1.70 0.088 -.0067032 .0963196

American (base alternative)

Japanese
gender
Male -.379326 .1712399 -2.22 0.027 -.71495 -.0437021
income .0154978 .0065145 2.38 0.017 .0027296 .0282659
_cons -.4787261 .331378 -1.44 0.149 -1.128215 .1707628

European
gender
Male .653345 .2647694 2.47 0.014 .1344065 1.172283
income .0343647 .0080286 4.28 0.000 .0186289 .0501006
_cons -2.839606 .461613 -6.15 0.000 -3.744351 -1.934861

Korean
gender
Male .0679233 .4464535 0.15 0.879 -.8071094 .942956
income -.0377716 .0158434 -2.38 0.017 -.068824 -.0067191
_cons .0511728 .8033048 0.06 0.949 -1.523276 1.625621
 cmclogit — Conditional logit (McFadden’s) choice model 7

Displaying the results as odds ratios and relative-risk ratios makes interpretation easier.
. cmclogit, or noheader

purchase Odds ratio Std. err. z P>|z| [95% conf. interval]

car
dealers 1.045827 .0274862 1.70 0.088 .9933192 1.101111

American (base alternative)

Japanese
gender
Male .6843225 .1171833 -2.22 0.027 .4892166 .9572391
income 1.015618 .0066162 2.38 0.017 1.002733 1.028669
_cons .6195721 .2053126 -1.44 0.149 .3236104 1.186209

European
gender
Male 1.921959 .5088759 2.47 0.014 1.143858 3.229358
income 1.034962 .0083093 4.28 0.000 1.018804 1.051377
_cons .0584487 .0269807 -6.15 0.000 .023651 .1444443

Korean
gender
Male 1.070283 .4778316 0.15 0.879 .4461458 2.56756
income .9629329 .0152561 -2.38 0.017 .9334909 .9933034
_cons 1.052505 .8454821 0.06 0.949 .2179966 5.081575

Note: Exponentiated coefficients represent odds ratios for

alternative-specific variables (first equation) and relative-risk ratios
for case-specific variables.
Note: _cons estimates baseline relative risk for each outcome.

These results indicate that males are less likely to pick a Japanese car over an American car than
females (relative-risk ratio 0.68) but males are more likely to choose a European car over an American
car than females (relative-risk ratio 1.9). Persons with higher incomes are more likely to purchase
a Japanese or European car over an American car but less likely to purchase a Korean car over an
American one.
How would increasing the number of dealerships for a certain nationality of car affect the likelihood
of more people buying that car? Using margins after cmclogit can answer this question based on
the model fit.
Let’s make the question more precise: How would the probability of a person selecting a European
car change if one additional European dealership was opened in each community? If this probability
increases (as we expect it to), the increase must come at the expense of American, Japanese, or
Korean cars. Which one of these is affected the most?
We type margins, specifying the options at(dealers=generate(dealers)) and at(dealers=
generate(dealers+1)) to estimate the probabilities of selecting each nationality of car with the
current number of dealerships and with one additional dealership in each community. We add the
contrast(atcontrast(r)) option to estimate the differences between these two sets of probabilities.
By including the alternative(European) option, we request that these differences are for a change
in alternative European (the value label for this alternative).
 8 cmclogit — Conditional logit (McFadden’s) choice model

. margins, at(dealers=generate(dealers)) at(dealers=generate(dealers+1))

> contrast(atcontrast(r)) alternative(European)
Contrasts of predictive margins Number of obs = 3,075
Model VCE: OIM
Expression: Pr(car|1 selected), predict()
Alternative: European
1._at: dealers = dealers
2._at: dealers = dealers+1

df chi2 P>chi2

_at@_outcome
(2 vs 1) American 1 2.81 0.0937
(2 vs 1) Japanese 1 2.80 0.0940
(2 vs 1) European 1 2.82 0.0934
(2 vs 1) Korean 1 2.52 0.1121
Joint 3 2.84 0.4177

Delta-method
Contrast std. err. [95% conf. interval]

_at@_outcome
(2 vs 1) American -.0028946 .0017268 -.0062791 .0004899
(2 vs 1) Japanese -.0024619 .0014701 -.0053434 .0004195
(2 vs 1) European .0056244 .0033521 -.0009456 .0121944
(2 vs 1) Korean -.0002679 .0001686 -.0005983 .0000625

We see that adding a European dealership changes the probability of someone purchasing a European
car by 0.0056. This increase comes at the expense of American cars slightly more than Japanese
cars. The probability of someone purchasing an American car decreases by 0.0029 per European
dealership increased, and the probability of someone purchasing a Japanese car decreases by 0.0025.
The probability of buying a Korean car is barely changed, only a tiny decrease of 0.0003.
See [CM] Intro 1 and [CM] margins for more on using margins after cmclogit.

Example 2: Changing the base alternative

In the preceding example, the base alternative category was American cars, which was chosen by
default because we did not specify the option basealternative(). The default base category is the
alternative with the highest frequency of being chosen. To set the base category to Japanese cars, we
specify basealternative(Japanese).
 cmclogit — Conditional logit (McFadden’s) choice model 9

. cmclogit purchase dealers, casevars(i.gender income)

> basealternative(Japanese) or
Iteration 0: log likelihood = -961.18687
Iteration 1: log likelihood = -948.53711
Iteration 2: log likelihood = -948.12131
Iteration 3: log likelihood = -948.12096
Iteration 4: log likelihood = -948.12096
Conditional logit choice model Number of obs = 3,075
Case ID variable: consumerid Number of cases = 862
Alternatives variable: car Alts per case: min = 3
avg = 3.6
max = 4
Wald chi2(7) = 51.03
Log likelihood = -948.12096 Prob > chi2 = 0.0000

purchase Odds ratio Std. err. z P>|z| [95% conf. interval]

car
dealers 1.045827 .0274862 1.70 0.088 .9933192 1.101111

American
gender
Male 1.461299 .2502327 2.22 0.027 1.044671 2.044084
income .9846217 .0064143 -2.38 0.017 .9721298 .9972741
_cons 1.614017 .5348498 1.44 0.149 .8430215 3.090136

Japanese (base alternative)

European
gender
Male 2.808557 .7404989 3.92 0.000 1.675163 4.708792
income 1.019046 .0083438 2.30 0.021 1.002823 1.035532
_cons .0943372 .0429738 -5.18 0.000 .0386306 .2303745

Korean
gender
Male 1.564004 .698962 1.00 0.317 .6513754 3.755299
income .9481246 .0152149 -3.32 0.001 .918768 .9784192
_cons 1.698761 1.365008 0.66 0.510 .3516937 8.205401

Note: Exponentiated coefficients represent odds ratios for

alternative-specific variables (first equation) and relative-risk ratios
for case-specific variables.
Note: _cons estimates baseline relative risk for each outcome.

With the default base alternative of American cars, it was hard to make comparisons involving the
choice of European and Korean cars relative to Japanese cars. The differences are now easy to see.

Example 3: altwise handling of missing values

The altwise option changes how cmclogit handles missing values. By default, missing values
are handled casewise, meaning that any missing value in any observation composing the case causes
the entire case to be omitted from the estimation sample. This applies to missing values in the
alternative-specific and case-specific variables, the dependent variable, the alternatives variable, and
in the weights if any.
10 cmclogit — Conditional logit (McFadden’s) choice model

If we only want to omit only observations with missing values and not the entire case, we specify
the option altwise. We refit the model in example 1 using altwise. We also specify the option
basealternative(American) so that the base alternative is the same as it was when we did
casewise deletion. (When altwise deletion is done, the most frequent alternative is Japanese, and if
we did not specify basealternative(), Japanese would be used by default as the base alternative.)
. cmclogit purchase dealers, casevars(i.gender income) altwise or
> basealternative(American)
note: variable dealers has 1 case that is not alternative-specific; there is
no within-case variability.
Iteration 0: log likelihood = -976.1027
Iteration 1: log likelihood = -965.37952
Iteration 2: log likelihood = -965.01714
Iteration 3: log likelihood = -965.0164
Iteration 4: log likelihood = -965.0164
Conditional logit choice model Number of obs = 3,137
Case ID variable: consumerid Number of cases = 885
Alternatives variable: car Alts per case: min = 2
avg = 3.5
max = 4
Wald chi2(7) = 54.18
Log likelihood = -965.0164 Prob > chi2 = 0.0000

purchase Odds ratio Std. err. z P>|z| [95% conf. interval]

car
dealers 1.05095 .0272151 1.92 0.055 .9989405 1.105668

American (base alternative)

Japanese
gender
Male .6866621 .1165921 -2.21 0.027 .4922809 .9577963
income 1.01551 .0065797 2.38 0.018 1.002696 1.028488
_cons .6287248 .2070286 -1.41 0.159 .3297418 1.198801

European
gender
Male 1.997394 .5266466 2.62 0.009 1.191324 3.348863
income 1.035968 .0082453 4.44 0.000 1.019933 1.052255
_cons .0558718 .0255968 -6.30 0.000 .0227629 .1371379

Korean
gender
Male 1.066616 .4762214 0.14 0.885 .4445952 2.55889
income .9628352 .0153454 -2.38 0.017 .9332236 .9933864
_cons 1.054358 .8492452 0.07 0.948 .2174589 5.112091

Note: Exponentiated coefficients represent odds ratios for

alternative-specific variables (first equation) and relative-risk ratios
for case-specific variables.
Note: _cons estimates baseline relative risk for each outcome.

Results are similar to the model fit in example 1. That estimation sample had 862 cases; this one has
885, a difference of 23 cases.
 cmclogit — Conditional logit (McFadden’s) choice model 11

We suspect that handling missing values alternativewise changes the choice sets. To see the choice
sets used in the estimation, we type cmchoiceset with an if restriction to the estimation sample.
. cmchoiceset if e(sample) == 1
Tabulation of choice-set possibilities
Choice set Freq. Percent Cum.

1 2 2 0.23 0.23
1 2 3 378 42.71 42.94
1 2 3 4 489 55.25 98.19
1 2 4 4 0.45 98.64
1 3 2 0.23 98.87
1 3 4 2 0.23 99.10
2 3 3 0.34 99.44
2 3 4 5 0.56 100.00

Total 885 100.00

Note: Total is number of cases.

When missing values were handled casewise, there were only two distinct choice sets: {1, 2, 3}
and {1, 2, 3, 4}. Handling the missing values alternativewise gives six new choice sets, albeit each
with low frequency.
Handling missing values casewise never creates new choice sets. Handling missing values with
altwise almost always changes the choice sets used in the estimation. You should be aware of the
consequences. For instance, a dataset with balanced choice sets will typically become unbalanced
when missing values are handled alternativewise.
The cmsample command can help you to see exactly what observations and cases are dropped,
whether you use the casewise default or altwise.

Example 4: Multiple choices per case

Let us continue with our fictitious car choice dataset but expand it so that it also contains data on
the purchase of a second car. Here is what the data look like now:
. use https://www.stata-press.com/data/r17/carchoice_panel, clear
(Car choice panel data)
. list consumerid carnumber car purchase
> if inlist(consumerid, 6, 7), sepby(consumerid carnumber) abbr(10)

consumerid carnumber car purchase

18. 6 1 American 1
19. 6 1 Japanese 0
20. 6 1 European 0

21. 7 1 American 0
22. 7 1 Japanese 0
23. 7 1 European 1
24. 7 1 Korean 0

25. 7 2 American 0
26. 7 2 Japanese 0
27. 7 2 European 0
28. 7 2 Korean 1

The person with consumerid = 7 has two cars, the first a European car and the second a Korean
car. The person with consumerid = 6 has only one car, an American one.
12 cmclogit — Conditional logit (McFadden’s) choice model

How do we model these data?

The random utility model for McFadden’s choice model yields only one chosen alternative per case:
that with the greatest utility. Because the utility function is continuous, ties are theoretically impossible.
See Methods and formulas. Choice models for rank-ordered data allow for multiple alternatives to be
chosen and allow for tied ranks; for more information, see [CM] Intro 6.
Train (2009, sec. 2.2) notes that the set of alternatives can always be made mutually exclusive by
considering the choice of two alternatives as a separate alternative. For example, with one or two
choices allowed from alternatives A, B , and C , the set of alternatives is A only, B only, C only, A
and B , A and C , and B and C , a total of six alternatives.
We could do this with our expanded car choice data. But this would mean a model with 14
alternatives. There are four nationalities of cars. So the alternatives are only one car of one of these
nationalities (four possibilities), two cars of the same nationality (four possibilities), and two cars
of different nationalities (six possibilities). With so many possibilities, there are concerns both about
statistical power and about ease of model interpretation.
There is another way to view our expanded car choice data. The stated design of the fictitious
data collection was to take the most recent car purchased, and if another car was purchased in the
previous five years by anyone in the household, then to collect data on that car as well. So these data
are panel data with information from two time points.
The variable carnumber will do as a time variable, and we can cmset the data as panel choice
data:
. cmset consumerid carnumber car
note: case identifier _caseid generated from consumerid and carnumber.
note: panel by alternatives identifier _panelaltid generated from consumerid
and car.
note: alternatives are unbalanced across choice sets; choice sets of different
sizes found.
Panel data: Panels consumerid and time carnumber
Case ID variable: _caseid
Alternatives variable: car
Panel by alternatives variable: _panelaltid (unbalanced)
Time variable: carnumber, 1 to 2
Delta: 1 unit
Note: Data have been xtset.

See [CM] Intro 7 and [CM] cmset for more information on cmsetting panel choice data.
 cmclogit — Conditional logit (McFadden’s) choice model 13

Once we have cmset the data, we can run cmclogit, issuing the same command line we used
for the dataset with only one car per person.
. cmclogit purchase dealers, casevars(i.gender income) or
> basealternative(American)
note: data were cmset as panel data, and the default vcetype for panel data is
vce(cluster consumerid); see cmclogit.
Iteration 0: log pseudolikelihood = -1236.6065
Iteration 1: log pseudolikelihood = -1221.0412
Iteration 2: log pseudolikelihood = -1220.8605
Iteration 3: log pseudolikelihood = -1220.8604
Conditional logit choice model Number of obs = 3,728
Case ID variable: _caseid Number of cases = 1045
Alternatives variable: car Alts per case: min = 3
avg = 3.6
max = 4
Wald chi2(7) = 42.76
Log pseudolikelihood = -1220.8604 Prob > chi2 = 0.0000
(Std. err. adjusted for 862 clusters in consumerid)

Robust
purchase Odds ratio std. err. z P>|z| [95% conf. interval]

car
dealers 1.020878 .0236626 0.89 0.373 .9755374 1.068325

American (base alternative)

Japanese
gender
Male .6751564 .1104886 -2.40 0.016 .4898986 .9304704
income 1.01464 .0060839 2.42 0.015 1.002785 1.026634
_cons .518233 .1608041 -2.12 0.034 .2821 .9520221

European
gender
Male 1.590534 .3411024 2.16 0.030 1.044711 2.421529
income 1.032775 .0074815 4.45 0.000 1.018216 1.047543
_cons .074066 .0306088 -6.30 0.000 .0329494 .1664908

Korean
gender
Male 1.133754 .3022134 0.47 0.638 .6723919 1.911679
income .9938 .0101097 -0.61 0.541 .9741815 1.013814
_cons .5676166 .3002472 -1.07 0.284 .2012808 1.600692

Note: Exponentiated coefficients represent odds ratios for

alternative-specific variables (first equation) and relative-risk ratios
for case-specific variables.
Note: _cons estimates baseline relative risk for each outcome.

Note that cmclogit knew the data were panel data with some individuals having more than one
case, and it automatically set the variance estimator used to vce(cluster consumerid), where
consumerid is the ID for individuals. If, for whatever reason, you wish to use another variance
estimator, you can set vce() explicitly and cmclogit will respect your choice. See [R] vce option
for details on the available choices for vce().
 14 cmclogit — Conditional logit (McFadden’s) choice model

Stored results
cmclogit stores the following in e():
Scalars
e(N) number of observations
e(N case) number of cases
e(N ic) N for Bayesian information criterion (BIC)
e(N clust) number of clusters
e(k) number of parameters
e(k alt) number of alternatives
e(k indvars) number of alternative-specific variables
e(k casevars) number of case-specific variables
e(k eq) number of equations in e(b)
e(k eq model) number of equations in overall model test
e(df m) model degrees of freedom
e(ll) log likelihood
e(const) constant indicator
e(i base) base alternative index
e(chi2) χ2
e(p) p-value for model test
e(alt min) minimum number of alternatives
e(alt avg) average number of alternatives
e(alt max) maximum number of alternatives
e(rank) rank of e(V)
e(ic) number of iterations
e(rc) return code
e(converged) 1 if converged, 0 otherwise
Macros
e(cmd) cmclogit
e(cmdline) command as typed
e(depvar) name of dependent variable
e(caseid) name of case ID variable
e(altvar) name of alternatives variable
e(alteqs) alternative equation names
e(alt#) alternative labels
e(wtype) weight type
e(wexp) weight expression
e(marktype) casewise or altwise, type of markout
e(key N ic) cases, key for N for Bayesian information criterion (BIC)
e(title) title in estimation output
e(clustvar) name of cluster variable
e(offset) linear offset variable
e(chi2type) Wald, type of model χ2 test
e(vce) vcetype specified in vce()
e(vcetype) title used to label Std. err.
e(opt) type of optimization
e(which) max or min; whether optimizer is to perform maximization or minimization
e(ml method) type of ml method
e(user) name of likelihood-evaluator program
e(technique) maximization technique
e(datasignature) the checksum
e(datasignaturevars) variables used in calculation of checksum
e(properties) b V
e(predict) program used to implement predict
e(marginsok) predictions allowed by margins
e(marginsnotok) predictions disallowed by margins
e(asbalanced) factor variables fvset as asbalanced
e(asobserved) factor variables fvset as asobserved
 cmclogit — Conditional logit (McFadden’s) choice model 15

Matrices
e(b) coefficient vector
e(stats) alternative statistics
e(altvals) alternative values
e(altfreq) alternative frequencies
e(alt casevars) indicators for estimated case-specific coefficients—e(k alt)×e(k casevars)
e(Cns) constraints matrix
e(ilog) iteration log (up to 20 iterations)
e(gradient) gradient vector
e(V) variance–covariance matrix of the estimators
e(V modelbased) model-based variance
Functions
e(sample) marks estimation sample

In addition to the above, the following is stored in r():

Matrices
r(table) matrix containing the coefficients with their standard errors, test statistics, p-values,
and confidence intervals

Note that results stored in r() are updated when the command is replayed and will be replaced when
any r-class command is run after the estimation command.

Methods and formulas

In this model, we have a set of unordered alternatives indexed by 1, 2, . . . , J . Let yij , j = 1, . . . , J ,
be an indicator variable for the alternative chosen by the i th individual (case). That is, yij = 1 if
individual i chose alternative j , and yij = 0 otherwise.
The independent variables come in two forms: alternative specific and case specific. Alternative-
specific variables vary among the alternatives and the cases, and case-specific variables vary only
among cases. Assume that we have p alternative-specific variables so that for case i we have a J × p
matrix, Xi . Assume that we have q case-specific variables so that we have a 1 × q vector zi for
case i.
The deterministic component of the random utility model can then be expressed as

0
ηi = Xi β + (zi A)
= Xi β + (zi ⊗ IJ ) vec(A0 )
 
β
= (Xi , zi ⊗ IJ )
vec(A0 )
= X∗i β∗
As before, β is a p × 1 vector of alternative-specific regression coefficients, and A = (α1 , . . . , αJ )
is a q × J matrix of case-specific regression coefficients. We must set one of the αj to zero to
normalize the location. Here IJ is the J × J identity matrix, vec(·) is the vector function that creates
a vector from a matrix by placing each column of the matrix on top of the other (see [M-5] vec( )),
and ⊗ is the Kronecker product (see [M-2] op kronecker).
We have rewritten the linear equation so that it is a form that can be used by clogit, namely,
X∗i β∗ , where
X∗i = (Xi , zi ⊗ IJ )
 
β
β∗ =
vec(A0 )
 16 cmclogit — Conditional logit (McFadden’s) choice model

With this in mind, see Methods and formulas in [R] clogit for the computational details of the
conditional logit model.
This command supports the clustered version of the Huber/White/sandwich estimator of the
variance using vce(robust) and vce(cluster clustvar). See [P] robust, particularly Maximum
likelihood estimators and Methods and formulas. Specifying vce(robust) is equivalent to specifying
vce(cluster caseid), where caseid is the variable that identifies the cases.

Daniel Little McFadden (1937– ) was born in North Carolina. He studied physics, psychology,
and economics at the University of Minnesota and has taught economics at Pittsburgh, Berkeley,
MIT, and the University of Southern California. His contributions to logit models were triggered
by a student’s project on freeway routing decisions, and his work consistently links economic
theory and applied problems. In 2000, he shared the Nobel Prize in Economics with James J.
Heckman.


References
Cameron, A. C., and P. K. Trivedi. 2010. Microeconometrics Using Stata. Rev. ed. College Station, TX: Stata Press.
Greene, W. H. 2018. Econometric Analysis. 8th ed. New York: Pearson.
McFadden, D. L. 1974. Conditional logit analysis of qualitative choice behavior. In Frontiers in Econometrics, ed.
P. Zarembka, 105–142. New York: Academic Press.
Train, K. E. 2009. Discrete Choice Methods with Simulation. 2nd ed. New York: Cambridge University Press.

Also see
[CM] cmclogit postestimation — Postestimation tools for cmclogit
[CM] cmmixlogit — Mixed logit choice model
[CM] cmmprobit — Multinomial probit choice model
[CM] cmset — Declare data to be choice model data
[CM] margins — Adjusted predictions, predictive margins, and marginal effects
[CM] nlogit — Nested logit regression
[R] clogit — Conditional (fixed-effects) logistic regression
[R] mlogit — Multinomial (polytomous) logistic regression
[U] 20 Estimation and postestimation commands