Semiparametric Identification and Estimation of Multinomial Discrete Choice Models using Error Symmetry

Arthur Lewbel, Jin Yan and Yu Zhou
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Jin Yan: Chinese University of Hong Kong
Yu Zhou: School of Economics, Fudan University

No 1028, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: We provide a new method to point identify and estimate cross-sectional multinomial choice models, using conditional error symmetry. Our model nests common random coefficient specifications (without having to specify which regressors have random coefficients), and more generally allows for arbitrary heteroskedasticity on most regressors, unknown error distribution, and does not require a "large support" "(such as identification at infinity) assumption. We propose an estimator that minimizes the squared di§erences of the estimated error density at pairs of symmetric points about the origin. Our estimator is root N consistent and asymptotically normal, making statistical inference straightforward.

Keywords: Central Symmetry; Exclusion Restriction; Multinomial Discrete Choice (search for similar items in EconPapers)
JEL-codes: C14 C35 (search for similar items in EconPapers)
Date: 2021-02-15, Revised 2021-12-15
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Citations: View citations in EconPapers (1)

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