A practically tractable expression of the covariances of the Cross-Nested Logit model

Vittorio Marzano, Andrea Papola, Fulvio Simonelli and Roberta Vitillo

Transportation Research Part B: Methodological, 2013, vol. 57, issue C, 1-11

Abstract: This paper proposes a practically tractable mathematical procedure for the calculation of the covariances underlying whatever given Cross-Nested Logit (CNL) model, based on the variance of a one-dimensional random variable, whose cumulative distribution function and density probability function are given in closed form. This allows expressing the CNL covariances as a function of just a one-dimensional integral, which can be evaluated easily and effectively by means of standard numerical techniques, implementable also in basic computer spreadsheets. Firstly, a formal theoretical proof of the procedure is illustrated. Then, a comparison with the calculations performed by Marzano and Papola [Marzano, V., Papola, ., 2008. On the covariance structure of the Cross-Nested Logit model. Transportation Research B 42(2), 83–98] is proposed, and details about the practical implementation of the procedure are discussed. Finally, estimation of the CNL model in contexts with prior expectations on covariances/correlations is addressed practically, thanks to the simplification achieved in the calculation of the CNL covariances.

Keywords: Cross-Nested Logit; GEV models; Covariance/correlation calculation (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.trb.2013.08.017

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