The Random Coefficients Logit Model Is Identified / Patrick Bajari, Jeremy Fox, Kyoo il Kim, Stephen P. Ryan.

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Bajari, Patrick

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w14934.Publication details: Cambridge, Mass. National Bureau of Economic Research 2009.Description: 1 online resource: illustrations (black and white)Subject(s):

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Abstract: The random coefficients, multinomial choice logit model has been widely used in empirical choice analysis for the last 30 years. We are the first to prove that the distribution of random coefficients in this model is nonparametrically identified. Our approach exploits the structure of the logit model, and so requires no monotonicity assumptions and requires variation in product characteristics within only an infinitesimally small open set. Our identification argument is constructive and may be applied to other choice models with random coefficients.

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April 2009.

The random coefficients, multinomial choice logit model has been widely used in empirical choice analysis for the last 30 years. We are the first to prove that the distribution of random coefficients in this model is nonparametrically identified. Our approach exploits the structure of the logit model, and so requires no monotonicity assumptions and requires variation in product characteristics within only an infinitesimally small open set. Our identification argument is constructive and may be applied to other choice models with random coefficients.