Estimating Mixed Logit Models

This vignette demonstrates an example of how to use the logitr() function to estimate mixed logit (MXL) models with preference space and WTP space utility parameterizations.

Supported distributions

The mixed logit model is a popular approach for modeling unobserved heterogeneity across individuals, which is implemented by assuming that parameters vary randomly across individuals according to a chosen distribution (McFadden and Train 2000). A mixed logit model is specified by setting the randPars argument in the logitr() function equal to a named vector defining parameter distributions. In the example below, we set randPars = c(feat = 'n', brand = 'n') so that feat and brand are normally distributed. The current package version supports the following distributions:

Mixed logit models will estimate a mean and standard deviation of the underlying normal distribution for each random coefficient. Note that log-normal or zero-censored normal parameters force positivity, so when using these it is often necessary to use the negative of a value (e.g. for “price”, which typically has a negative coefficient). Mixed logit models in logitr assume uncorrelated heterogeneity covariances by default, though full covariances can be estimated using the correlation = TRUE argument. For WTP space models, the scalePar parameter can also be modeled as following a random distribution by setting the randScale argument equal to "n", "ln", or "cn".

The data

This example uses the yogurt data set from Jain et al. (1994). The data set contains 2,412 choice observations from a series of yogurt purchases by a panel of 100 households in Springfield, Missouri, over a roughly two-year period. The data were collected by optical scanners and contain information about the price, brand, and a “feature” variable, which identifies whether a newspaper advertisement was shown to the customer. There are four brands of yogurt: Yoplait, Dannon, Weight Watchers, and Hiland, with market shares of 34%, 40%, 23% and 3%, respectively.

In the utility models described below, the data variables are represented as follows:

Symbol Variable
\(p\) The price in US dollars.
\(x_{j}^{\mathrm{Feat}}\) Dummy variable for whether the newspaper advertisement was shown to the customer.
\(x_{j}^{\mathrm{Hiland}}\) Dummy variable for the “Highland” brand.
\(x_{j}^{\mathrm{Weight}}\) Dummy variable for the “Weight Watchers” brand.
\(x_{j}^{\mathrm{Yoplait}}\) Dummy variable for the “Yoplait” brand.

Preference space model

This example will estimate the following mixed logit model in the preference space:

\[\begin{equation} u_{j} = \alpha p_{j} + \beta_1 x_{j}^{\mathrm{Feat}} + \beta_2 x_{j}^{\mathrm{Hiland}} + \beta_3 x_{j}^{\mathrm{Weight}} + \beta_4 x_{j}^{\mathrm{Yoplait}} + \varepsilon_{j} \label{eq:mnlPrefExample} \end{equation}\]

where the parameters \(\alpha\), \(\beta_1\), \(\beta_2\), \(\beta_3\), and \(\beta_4\) have units of utility. In the example below, we will model \(\beta_1\), \(\beta_2\), \(\beta_3\), and \(\beta_4\) as normally distributed across the population. As a result, the model will estimate a mean and standard deviation for each of these coefficients.

Note that since the yogurt data has a panel structure (i.e. multiple choice observations for each respondent), it is necessary to set the panelID argument to the id variable, which identifies the individual. This will use the panel version of the log-likelihood (see Train 2009 chapter 6, section 6.7 for details).

Finally, as with WTP space models, it is recommended to use a multistart search for mixed logit models as they are non-convex. This is implemented in the example below by setting numMultiStarts = 10:

library("logitr")

set.seed(456)

mxl_pref <- logitr(
  data     = yogurt,
  outcome  = 'choice',
  obsID    = 'obsID',
  panelID  = 'id',
  pars     = c('price', 'feat', 'brand'),
  randPars = c(feat = 'n', brand = 'n'),
  numMultiStarts = 10
)

Print a summary of the results:

summary(mxl_pref)
#> =================================================
#> 
#> Model estimated on: Sun Jul 05 18:08:57 2026 
#> 
#> Using logitr version: 1.2.0 
#> 
#> Call:
#> logitr(data = yogurt, outcome = "choice", obsID = "obsID", pars = c("price", 
#>     "feat", "brand"), randPars = c(feat = "n", brand = "n"), 
#>     panelID = "id", numMultiStarts = 10, numCores = numCores)
#> 
#> Frequencies of alternatives:
#>        1        2        3        4 
#> 0.402156 0.029436 0.229270 0.339138 
#> 
#> Summary Of Multistart Runs:
#>    Log Likelihood Iterations Exit Status
#> 1       -1248.046         67           3
#> 2       -1243.548         71           3
#> 3       -1255.239         83           3
#> 4       -1244.538         77           3
#> 5       -1243.951         51           3
#> 6       -1258.800        100           3
#> 7       -1247.718         64           3
#> 8       -1248.251         45           3
#> 9       -1264.001         90           3
#> 10      -1248.046         81           3
#> 
#> Use statusCodes() to view the meaning of each status code
#> 
#> Exit Status: 3, Optimization stopped because ftol_rel or ftol_abs was reached.
#>                              
#> Model Type:       Mixed Logit
#> Model Space:       Preference
#> Model Run:            2 of 10
#> Iterations:                71
#> Elapsed Time:        0h:0m:4s
#> Algorithm:     NLOPT_LD_LBFGS
#> Weights Used?:          FALSE
#> Panel ID:                  id
#> Robust?                 FALSE
#> 
#> Model Coefficients: 
#>                  Estimate Std. Error  z-value  Pr(>|z|)    
#> price           -0.457776   0.040953 -11.1782 < 2.2e-16 ***
#> feat             0.929193   0.238074   3.9030 9.502e-05 ***
#> brandhiland     -5.383503   0.443125 -12.1490 < 2.2e-16 ***
#> brandweight     -3.815535   0.413157  -9.2351 < 2.2e-16 ***
#> brandyoplait     0.761100   0.294605   2.5835  0.009781 ** 
#> sd_feat          1.273684   0.307993   4.1354 3.543e-05 ***
#> sd_brandhiland   2.616389   0.342591   7.6371 2.220e-14 ***
#> sd_brandweight   4.202638   0.340843  12.3301 < 2.2e-16 ***
#> sd_brandyoplait  3.831498   0.348782  10.9854 < 2.2e-16 ***
#> ---
#> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>                                      
#> Log-Likelihood:         -1243.5483019
#> Null Log-Likelihood:    -3343.7419990
#> AIC:                     2505.0966038
#> BIC:                     2557.1905000
#> McFadden R2:                0.6280968
#> Adj McFadden R2:            0.6254052
#> Number of Observations:  2412.0000000
#> 
#> Summary of 10k Draws for Random Coefficients: 
#>              Min.     1st Qu.     Median       Mean    3rd Qu. Max.
#> feat         -Inf  0.06924067  0.9282196  0.9274097  1.7869054  Inf
#> brandhiland  -Inf -7.14915261 -5.3843423 -5.3859286 -3.6200924  Inf
#> brandweight  -Inf -6.65233541 -3.8189820 -3.8220192 -0.9848315  Inf
#> brandyoplait -Inf -1.82856130  0.7545405  0.7512548  3.3384107  Inf

The above summary table prints summaries of the estimated coefficients as well as a summary table of the distribution of 10,000 population draws for each normally-distributed model coefficient. The results show that the feat attribute has a significant standard deviation coefficient, suggesting that there is considerable heterogeneity across the population for this attribute. In contrast, the brand coefficients have small and insignificant standard deviation coefficients.

Compute the WTP implied from the preference space model:

wtp_mxl_pref <- wtp(mxl_pref, scalePar =  "price")
wtp_mxl_pref
#>                   Estimate Std. Error z-value  Pr(>|z|)    
#> scalePar          0.457776   0.041031 11.1570 < 2.2e-16 ***
#> feat              2.029800   0.587228  3.4566 0.0005471 ***
#> brandhiland     -11.760136   1.236125 -9.5137 < 2.2e-16 ***
#> brandweight      -8.334946   1.183424 -7.0431 1.880e-12 ***
#> brandyoplait      1.662606   0.638217  2.6051 0.0091853 ** 
#> sd_feat           2.782332   0.717947  3.8754 0.0001065 ***
#> sd_brandhiland    5.715440   0.893975  6.3933 1.624e-10 ***
#> sd_brandweight    9.180564   1.133543  8.0990 4.441e-16 ***
#> sd_brandyoplait   8.369817   0.985454  8.4934 < 2.2e-16 ***
#> ---
#> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

WTP space model

This example will estimate the following mixed logit model in the WTP space:

\[\begin{equation} u_{j} = \lambda ( \omega_1 x_{j}^{\mathrm{Feat}} + \omega_2 x_{j}^{\mathrm{Hiland}} + \omega_3 x_{j}^{\mathrm{Weight}} + \omega_4 x_{j}^{\mathrm{Yoplait}} - p_{j}) + \varepsilon_{j} \label{eq:mnlWtpExample} \end{equation}\]

where the parameters \(\omega_1\), \(\omega_2\), \(\omega_3\), and \(\omega_4\) have units of dollars and \(\lambda\) is the scale parameter. In the example below, we will model \(\omega_1\), \(\omega_2\), \(\omega_3\), and \(\omega_4\) as normally distributed across the population. Note that this is a slightly different assumption than in the preference space model. In the WTP space, we are assuming that the WTP for these features is normally-distributed (as opposed to the preference space model where the utility coefficients are assumed to follow a normal distribution).

In the example below, we also use a 10-iteration multistart. We also set the starting values for the first iteration to the computed WTP from the preference space model:

set.seed(6789)

mxl_wtp <- logitr(
  data       = yogurt,
  outcome    = 'choice',
  obsID      = 'obsID',
  panelID    = 'id',
  pars       = c('feat', 'brand'),
  scalePar   = 'price',
  randPars   = c(feat = 'n', brand = 'n'),
  numMultiStarts = 10,
  startVals = wtp_mxl_pref$Estimate
)

Print a summary of the results:

summary(mxl_wtp)
#> =================================================
#> 
#> Model estimated on: Sun Jul 05 18:09:24 2026 
#> 
#> Using logitr version: 1.2.0 
#> 
#> Call:
#> logitr(data = yogurt, outcome = "choice", obsID = "obsID", pars = c("feat", 
#>     "brand"), scalePar = "price", randPars = c(feat = "n", brand = "n"), 
#>     panelID = "id", startVals = wtp_mxl_pref$Estimate, numMultiStarts = 10, 
#>     numCores = numCores)
#> 
#> Frequencies of alternatives:
#>        1        2        3        4 
#> 0.402156 0.029436 0.229270 0.339138 
#> 
#> Summary Of Multistart Runs:
#>    Log Likelihood Iterations Exit Status
#> 1       -1246.833        110           3
#> 2       -1244.825         99           3
#> 3       -1244.825        120           3
#> 4       -1334.249        125           4
#> 5       -1249.908         77           3
#> 6       -1241.157         98           3
#> 7       -1263.064         69           3
#> 8       -1246.285         72           3
#> 9       -1244.804         62           4
#> 10      -1249.378         58           4
#> 
#> Use statusCodes() to view the meaning of each status code
#> 
#> Exit Status: 3, Optimization stopped because ftol_rel or ftol_abs was reached.
#>                                  
#> Model Type:           Mixed Logit
#> Model Space:   Willingness-to-Pay
#> Model Run:                6 of 10
#> Iterations:                    98
#> Elapsed Time:            0h:0m:6s
#> Algorithm:         NLOPT_LD_LBFGS
#> Weights Used?:              FALSE
#> Panel ID:                      id
#> Robust?                     FALSE
#> 
#> Model Coefficients: 
#>                   Estimate Std. Error z-value  Pr(>|z|)    
#> scalePar          0.464716   0.040661 11.4292 < 2.2e-16 ***
#> feat              2.079322   0.571312  3.6396 0.0002731 ***
#> brandhiland     -11.946512   1.327983 -8.9960 < 2.2e-16 ***
#> brandweight      -5.391393   0.983317 -5.4829 4.185e-08 ***
#> brandyoplait      1.367973   0.599257  2.2828 0.0224433 *  
#> sd_feat           2.262513   0.738698  3.0628 0.0021925 ** 
#> sd_brandhiland    6.434834   1.040557  6.1840 6.249e-10 ***
#> sd_brandweight    9.015792   1.047257  8.6090 < 2.2e-16 ***
#> sd_brandyoplait   7.573298   0.848558  8.9249 < 2.2e-16 ***
#> ---
#> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>                                      
#> Log-Likelihood:         -1241.1567812
#> Null Log-Likelihood:    -3343.7419990
#> AIC:                     2500.3135624
#> BIC:                     2552.4075000
#> McFadden R2:                0.6288120
#> Adj McFadden R2:            0.6261204
#> Number of Observations:  2412.0000000
#> 
#> Summary of 10k Draws for Random Coefficients: 
#>              Min.     1st Qu.     Median       Mean    3rd Qu. Max.
#> feat         -Inf   0.5517428   2.077593   2.076155  3.6029233  Inf
#> brandhiland  -Inf -16.2890100 -11.948576 -11.952478 -7.6095213  Inf
#> brandweight  -Inf -11.4770963  -5.398789  -5.405305  0.6812284  Inf
#> brandyoplait -Inf  -3.7507247   1.355007   1.348513  6.4622575  Inf

If you want to compare the WTP from the two different model spaces, use the wtpCompare() function:

wtpCompare(mxl_pref, mxl_wtp, scalePar = 'price')
#>                          pref           wtp  difference
#> scalePar            0.4577756     0.4647159  0.00694028
#> feat                2.0298000     2.0793223  0.04952227
#> brandhiland       -11.7601355   -11.9465118 -0.18637631
#> brandweight        -8.3349459    -5.3913935  2.94355241
#> brandyoplait        1.6626055     1.3679729 -0.29463267
#> sd_feat             2.7823319     2.2625130 -0.51981897
#> sd_brandhiland      5.7154403     6.4348345  0.71939421
#> sd_brandweight      9.1805643     9.0157924 -0.16477188
#> sd_brandyoplait     8.3698173     7.5732983 -0.79651898
#> logLik          -1243.5483019 -1241.1567812  2.39152071

Note that the WTP will not necessarily be the same between preference space and WTP space MXL models. This is because the distributional assumptions in MXL models imply different distributions on WTP depending on the model space. See Train and Weeks (2005) and Sonnier, Ainslie, and Otter (2007) for details on this topic.

Correlated heterogeneity

By default, logitr assumes that mixed logit models have uncorrelated heterogeneity. However, correlated heterogeneity can be implemented by setting correlation = TRUE for models in either space (preference or WTP). The example below shows the results for the same mixed logit model in the preference space as above but now with correlated heterogeneity:

library("logitr")

set.seed(456)

mxl_pref_cor <- logitr(
  data     = yogurt,
  outcome  = 'choice',
  obsID    = 'obsID',
  panelID  = 'id',
  pars     = c('price', 'feat', 'brand'),
  randPars = c(feat = 'n', brand = 'n'),
  numMultiStarts = 10,
  correlation = TRUE
)

Print a summary of the results:

summary(mxl_pref_cor)
#> =================================================
#> 
#> Model estimated on: Sun Jul 05 18:09:53 2026 
#> 
#> Using logitr version: 1.2.0 
#> 
#> Call:
#> logitr(data = yogurt, outcome = "choice", obsID = "obsID", pars = c("price", 
#>     "feat", "brand"), randPars = c(feat = "n", brand = "n"), 
#>     panelID = "id", correlation = TRUE, numMultiStarts = 10, 
#>     numCores = numCores)
#> 
#> Frequencies of alternatives:
#>        1        2        3        4 
#> 0.402156 0.029436 0.229270 0.339138 
#> 
#> Summary Of Multistart Runs:
#>    Log Likelihood Iterations Exit Status
#> 1       -1227.864        197           3
#> 2       -1227.964        121           3
#> 3       -1238.288         94           3
#> 4       -1227.964         73           3
#> 5       -1231.202        213           3
#> 6       -1232.829         84           3
#> 7       -1229.124        150           3
#> 8       -1232.829        110           3
#> 9       -1231.500        191           3
#> 10      -2843.772          5          -1
#> 
#> Use statusCodes() to view the meaning of each status code
#> 
#> Exit Status: 3, Optimization stopped because ftol_rel or ftol_abs was reached.
#>                              
#> Model Type:       Mixed Logit
#> Model Space:       Preference
#> Model Run:            1 of 10
#> Iterations:               197
#> Elapsed Time:       0h:0m:12s
#> Algorithm:     NLOPT_LD_LBFGS
#> Weights Used?:          FALSE
#> Panel ID:                  id
#> Robust?                 FALSE
#> 
#> Model Coefficients: 
#>                              Estimate Std. Error  z-value  Pr(>|z|)    
#> price                        -0.45460    0.04113 -11.0529 < 2.2e-16 ***
#> feat                          0.78333    0.25250   3.1023  0.001921 ** 
#> brandhiland                  -4.40630    0.55458  -7.9453 1.998e-15 ***
#> brandweight                  -2.44482    0.40938  -5.9720 2.343e-09 ***
#> brandyoplait                  1.05303    0.32318   3.2584  0.001121 ** 
#> sd_feat_feat                 -0.82442    0.39246  -2.1007  0.035670 *  
#> sd_feat_brandhiland           0.17173    0.26924   0.6379  0.523570    
#> sd_feat_brandweight           0.33876    0.28152   1.2033  0.228853    
#> sd_feat_brandyoplait          0.31532    0.42992   0.7334  0.463287    
#> sd_brandhiland_brandhiland    2.09825    0.41020   5.1152 3.134e-07 ***
#> sd_brandhiland_brandweight    0.58195    0.47574   1.2232  0.221236    
#> sd_brandhiland_brandyoplait   1.43149    0.46535   3.0762  0.002097 ** 
#> sd_brandweight_brandweight    3.67902    0.39489   9.3167 < 2.2e-16 ***
#> sd_brandweight_brandyoplait   2.60251    0.34367   7.5727 3.664e-14 ***
#> sd_brandyoplait_brandyoplait  3.74815    0.33568  11.1659 < 2.2e-16 ***
#> ---
#> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>                                      
#> Log-Likelihood:         -1227.8641286
#> Null Log-Likelihood:    -3343.7419990
#> AIC:                     2485.7282572
#> BIC:                     2572.5514000
#> McFadden R2:                0.6327874
#> Adj McFadden R2:            0.6283014
#> Number of Observations:  2412.0000000
#> 
#> Summary of 10k Draws for Random Coefficients: 
#>              Min.    1st Qu.    Median       Mean    3rd Qu. Max.
#> feat         -Inf  0.1333079  0.789591  0.7829895  1.4336861  Inf
#> brandhiland  -Inf -6.1735514 -4.400532 -4.4128234 -2.6565848  Inf
#> brandweight  -Inf -5.4889374 -2.468849 -2.4571845  0.5893883  Inf
#> brandyoplait -Inf -1.4803021  1.046608  1.0433935  3.5742692  Inf

References

Jain, Dipak C, Naufel J Vilcassim, and Pradeep K Chintagunta. 1994. “A Random-Coefficients Logit Brand-Choice Model Applied to Panel Data.” Journal of Business & Economic Statistics 12 (3): 317–28.
McFadden, Daniel, and Kenneth E. Train. 2000. “Mixed MNL models for discrete response.” J. Appl. Econom. 15 (5): 447–70. https://doi.org/10.1002/1099-1255(200009/10)15:5<447::AID-JAE570>3.0.CO;2-1.
Sonnier, Garrett, Andrew Ainslie, and Thomas Otter. 2007. “Heterogeneity distributions of willingness-to-pay in choice models.” Quant. Mark. Econ. 5 (3): 313–31. https://doi.org/10.1007/s11129-007-9024-6.
Train, Kenneth E., and Melvyn Weeks. 2005. “Discrete Choice Models in Preference and Willingness-to-Pay Space.” Chap. 1 in Appl. Simul. Methods Environ. Resour. Econ.