If you want to learn Nested Logit model, maybe you should try to use Stata manual.
There are very detailed explanations about the theortiecal background of Nested Logit model as well as an emprical dataset to help you to realize the estimation of nested logit model.
See help nlogit.
nlogit depvar [indepvars] [if] [in] [weight] [|| lev1_equation [|| lev2_equation ...]] || altvar:  [byaltvarlist] case(varname), [options]

stata中的命令能够用来做了，但还是不太明白这里面的含义，所以想问一下z变量的含义。