Package for Multivariate Multinomial Logit

Question

I would like to jointly estimate 3 variables. Two of them are categorical and the other one is binary. So I thought about a "multivariate multinomial logit model". I found a lot of theory about it (for Example Agresti 2007 Ch. 9 or Beel and Paap 2014) but I cannot find a package for R. Is there a built-in function or package I can use? I can switch to a bivariate multinomial logit if it is needed.

Thank you very much for your help in this matter!

Answer 1

There are several packages that might interest you for a multinomial logit model. They are mlogit, mnlogit, antitrust, and nnet.

mlogit: This is the most direct Multinomial Logit package currently available. It provides sample data, tools to estimate a multinomial logit model, and additional useful functions such as mlogit.optim to optimize specific parameters of multinomial logit functions.

mnlogit: This package is similar to mlogit, but it does not provide as many additional functions. It may be faster for the actual estimation process though.

antitrust: This package can estimate merger effects under logit (or nested logit) demand. This does not directly provide the multinomial logit coefficients, but it is very good at solving for the bottom line HHI and price effects of a merger.

nnet: This is a package for general multinomial log-linear models, and it can also estimate multinomial logit models.

Hope one of these packages helps for your purposes!