Estimation of Factor Structured Covariance Mixed Logit Models

Jonathan James ()
Additional contact information
Jonathan James: Department of Economics, California Polytechnic State University

No 1802, Working Papers from California Polytechnic State University, Department of Economics

Abstract: Mixed logit models with normally distributed random coefficients are typically estimated under the extreme assumptions that either the random coefficients are completely independent or fully correlated. A factor structured covariance provides a middle ground between these two assumptions. However, because these models are more difficult to estimate, they are not frequently used to model preference heterogeneity. This paper develops a simple expectation maximization algorithm for estimating mixed logit models when preferences are generated from a factor structured covariance. The algorithm is easy to implement for both exploratory and confirmatory factor models. The estimator is applied to stated-preference survey data from residential energy customers (Train, 2007). Comparing the fit across five different models, which differed in their assumptions on the covariance of preferences, the results show that all three factor specifications produced a better fit of the data than the fully correlated model measured by BIC and two out of three performed better in terms of AIC.

Keywords: Discrete Choice; Mixed Logit; EM Algorithm; Factor Models (search for similar items in EconPapers)
JEL-codes: C02 C13 C25 C35 C38 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2018
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://drive.google.com/file/d/1NYKuhPYadFeavBfQY ... /view?usp=drive_link First version, 2018 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpl:wpaper:1802

Access Statistics for this paper

More papers in Working Papers from California Polytechnic State University, Department of Economics
Bibliographic data for series maintained by Matthew Cole ().