Identifying Heterogeneity in Economic Choice Models

Jeremy Fox and Amit Gandhi

No 15147, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We show how to nonparametrically identify the distribution that characterizes heterogeneity among agents in a general class of structural choice models. We introduce an axiom that we term separability and prove that separability of a structural model ensures identification. The main strength of separability is that it makes verifying the identification of nonadditive models a tractable task because it is a condition that is stated directly in terms of the choice behavior of agents in the model. We use separability to prove several new results. We prove the identification of the distribution of random functions and marginal effects in a nonadditive regression model. We also identify the distribution of utility functions in the multinomial choice model. Finally, we extend 2SLS to have random functions in both the first and second stages. This instrumental variables strategy applies equally to multinomial choice models with endogeneity.

JEL-codes: C14 C25 L0 (search for similar items in EconPapers)
Date: 2009-07
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-upt
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Citations: View citations in EconPapers (13)

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