R help - Aug 2009 - Help with Logit Model

Hello,

I have a bit of a tricky puzzle with trying to implement a logit model 
as described in a paper.

The particular paper is on horseracing and they explain a model that is 
a logit trained "per race", yet somehow the coefficients are combined 
across all the training races to come up with a final set of coefficients.

My understanding is that they maximize log likelihood across the entire 
set of training races. Yet this isn't just as standard logit model as 
they are looking at data "per race".

This is a bit hard to explain, so I've attached a tiny pdf of the 
paragraph from the paper explaining this.

Like everything else in the data/stat/econ world, there is probably a 
library in R that does this kind of thing, but after 3 days of heavy 
google research, I've been unable to find it.

Does anyone have any suggestions??

Thanks.

-N

Yes,

I already have solid code to estimate the probabilities and gather the 
public estimates.

What I'm stuck on is how to train the "race-wise" logit and then
somehow
combine them to come up with a final set of coefficients.

I could just train a glm on the whole data set, but would be losing the 
"race-wise" relationships.

If I follow step 1 of the paper, I wind up with 1000+ logit models 
(large training set.)
Now how do I combine them??

Thanks,

-N


On 8/6/09 6:14 PM, Eduardo Leoni wrote:
> If I follow it correctly (though I am quite sure I don't) what the
> authors  do in the paper is:
>
> 1) Estimate logit models separately per race (using, I assume, horse
> specific covariates.) This step is not described in the attachment you
> sent.
>
> 2) Get (from external data source?) public implied estimates.
>
> 3) Combine the probabilities from model with those from the public.
> These estimates are considered as "data" (that is, the errors in
the
> coefficients are ignored.) The final coefficients \alpha and \beta are
> estimated using a run of the mill multinomial logit model. It is a
> weighted average betwee the two (log) probabilities.
>
> hth,
>
> -eduardo
>    
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