The model and estimation procedure are described in:

The data are a subset of the data described in:

To run the code, thee I need to install Matlab Optimization Toolbox in the machine. All the files
are put in mxlmsl.zip into directory and this is what is to be used in for calling the simulation.
Files procedure
mxlmsl.m is the code that shall be run. In this model, the model is specified within the code.
doit.m is a script that is called at the end of mxlmsl.m. It shall check the data and transforms the
data into a more useful form, performs the estimation and prints results. It shall call all the other
functions either directly or indirectly.
check.m is a function that checks the input data and specifications. It provides error messages
and
terminates the run if anything is found to be incorrect.

loglik.m is a function that calculates the log-likehood function and its gradient. This funtion is
input to Matlab's fminunc command (which is part of Matlab's Optimization Toolbox.) This
function calls llgrad2.m.

llgrad2.m is a function that calculates for each person the probability of the chosen alternatives
and the gradient of the log of this probability.

der.m is a function that calculates the derivative of each random coefficient with respect to the
parameters of the model.

makedraws.m is a function that creates the standardized (ie parameter-free) draws that will be
used in the run, based on the specifications given by the user in mxlmsl.m.

trans.m is a function that transforms the standardized draws into draws of coefficients. (EG, if
coefficient c is normal with mean b and standard error w, then makedraws.m creates draws mu
from a standard normal N(0,1), and trans.m creates the draws of coefficients as c=b+w*mu.)

data.txt is an ascii file of data on vehicle choice. The data and its format are described
within mxlhb.m

myrunKT.out is the output file of running maxlhb.m with no modifications (with KT added to
the
filename so it is not deleted when the code is run again.)

FILE HIERARCHY

mxlmsl calls doit. mxlmsl also reads in data.txt and outputs the diary of the run.

doit calls check to check the data, calls makedraws to make the standardized draws, and calls
loglik as an input to matlab command fminunc to perform the estimation.

loglik calls llgrad2, which calls trans and der

NOTE: The file mxlmsl.m provides the user with an option to hold in memory only a portion of
the draws that are used in estimation. This capability allows the users with large-scale models
(many people and/or many random coefficients) to specify more draws than could be held in
memory at one time without running out of memory. If this option is chosen, then makedraws.m
saves the standardized draws to a file specified by the user. Then when calculating probabilities
and gradients, llgrad2 "loops" over portions of this file, holding only part of it in memory each
time. The file is deleted at the end of the run. If you want to access the file for some reason, then
remove (or comment-out) the line "delete(PUTDR)" at the end of mxlmsl. The file is created
with Matlab's fwrite, which means that it is not interpretable in a text editor nor can it be loaded
into Matlab with a load command. If you want to see or use the contents, you can read the entire
file into Matlab with these commands:

m=memmapfile('filename','Format','double');
DR=m.Data;
DR=reshape(DR,NDRAWS,NP,NV);
DR=permute(DR,[3,2,1]);

where filename is the name you specified for the file with PUTDR='filename' in the run that
created it;
NDRAWS is the number of draws that you specified in the run that created the file.
NP is the number of people in that run.
NV is the number of random coefficients in that run.

The resulting DR is a 3-dimensional array of standardized draws, where element DR(i,j,k) is the
k-th draw for person j for random coefficient i. If you want to use these draws in a new run, then
set DRAWTYPE=5 and put the above statements after "if DRAWTYPE==5". Of course, the
new run must have the same value of NP, NDRAWS, and NV as the run that created the file, and
must set NDRAWS=NTAKES.

If you cannot (or do not want to) hold the entire file in memory at one time, you can read-in only
a portion of it. To read K draws of all the random coefficients for all people, use these
commands:
m=memmapfile('filename','Format',{'double',[NDRAWS NP NV],'j'});
DR=m.Data(1).j(1:K,:,:);
DR=permute(DR,[3,2,1]);
Then element DR(i,j,k) is the k-th draw for person j for coefficient i.

You might wonder why the permute statement is needed. You actually don't need it if you are
just looking at the draws for your own purposes; without the statement, DR is simply ordered
differently, such that DR(k,j,i) is the k-th draw for person j for coefficient i. However, if you
want to use the draws in with the estimation code, then the permute statement is needed. There is
a reason that the draws are stored in a different arrangement than is used in the code, in case you
care to know: For Halton draws, an entire sequence must be created together for a given random
coefficient, even if NMEM<NDRAWS, since later parts of the sequence are created from earlier
parts (see Train, 2003, pp. 225-6.) So, in order to avoid running out of memory when holding all
NDRAWSxNP draws, the draws for only *one* random coefficient are created at a time and

then written into the file. This process creates a file of numbers with the ordering: all
NDRAWSxNP draws for the first coefficient, followed by all NDRAWSxNP draws for the
second coefficient, etc. When read in, this file makes a 3-dimensional array with NV as the
*last* dimension. However, the code uses draws in an array of dimension NVxNPxNMEM,
where NV is the *first* dimension. The permute statement appropriately transposes the first and
third dimensions.