main.jl

import Optim

function clogit_ll{R}(coeff::Vector{R}, x1, x2, x3, x4, x5, x6,
		    y1, y2, y3, y4, y5, y6,
		    T, nObs, nVar)

    llit = zero(R)

    for i=1:nObs
        for t=1:T

	    u1 = zero(R); u2 = zero(R); u3 = zero(R); u4 = zero(R); u5 = zero(R); u6 = zero(R)
      
        for k=1:nVar
            u1 += x1[i,k,t]*coeff[k]
            u2 += x2[i,k,t]*coeff[k]
            u3 += x3[i,k,t]*coeff[k]
            u4 += x4[i,k,t]*coeff[k]
            u5 += x5[i,k,t]*coeff[k]
            u6 += x6[i,k,t]*coeff[k]
        end

         denom = exp(u1)
         denom += exp(u2)
         denom += exp(u3)
         denom += exp(u4)
         denom += exp(u5)
         denom += exp(u6)

            p1 = exp(u1)/denom
            p2 = exp(u2)/denom
            p3 = exp(u3)/denom
            p4 = exp(u4)/denom
            p5 = exp(u5)/denom
            p6 = exp(u6)/denom


            llit += log(p1)*y1[i,t]
            llit += log(p2)*y2[i,t]
            llit += log(p3)*y3[i,t]
            llit += log(p4)*y4[i,t]
            llit += log(p5)*y5[i,t]
            llit += log(p6)*y6[i,t]
 
       end
    end
    return -llit
end



const nChoices   = 6    # Number of choices
const nVar       = 4    # Number of variables describing each choice
const nObs       = 2641 # Unique households
const T          = 6    # Number of periods

file     = open("testdata.csv")
data_raw = readcsv(file)
data     = reshape(data_raw, nObs, nChoices*(1+nVar), T)

const y1 = data[:,1,:]
const y2 = data[:,2,:]
const y3 = data[:,3,:]
const y4 = data[:,4,:]
const y5 = data[:,5,:]
const y6 = data[:,6,:]

const X  = data[:,7:end,:]
const x1 = X[:,(0*nVar+1):1*nVar,:]
const x2 = X[:,(1*nVar+1):2*nVar,:]
const x3 = X[:,(2*nVar+1):3*nVar,:]
const x4 = X[:,(3*nVar+1):4*nVar,:]
const x5 = X[:,(4*nVar+1):5*nVar,:]
const x6 = X[:,(5*nVar+1):6*nVar,:]


startval  = ones(nVar)

res = Optim.optimize(param->clogit_ll(param,x1,x2,x3,x4,x5,x6,
					y1,y2,y3,y4,y5,y6,T,nObs,nVar),
    startval, method = :l_bfgs, 
    xtol = 1e-6, ftol = 1e-6, grtol = 1e-6,
    show_trace = true, autodiff=true)

tic()
res = Optim.optimize(param->clogit_ll(param,x1,x2,x3,x4,x5,x6,
					y1,y2,y3,y4,y5,y6,T,nObs,nVar),
    startval, method = :l_bfgs, 
    xtol = 1e-6, ftol = 1e-6, grtol = 1e-6,
    show_trace = true,autodiff=true) 
toc()
println(res.minimum)
println(res.f_minimum)