Moment Inequalities for Multinomial Choice with Fixed Effects

Ariel Pakes and Jack Porter

No 21893, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We propose a new approach to semiparametric analysis of multinomial choice models with fixed effects and a group (or panel) structure. A traditional random utility framework is employed, and the key assumption is a group homogeneity condition on the disturbances. This assumption places no restrictions on either the joint distribution of the disturbances across choices or within group (or across time) correlations. This work follows a substantial nonlinear panel literature (Manski 1987, Honore 1992, Abrevaya 1999, 2000) with the distinction that multiple covariate index functions now determine the outcome. A novel within-group comparison leads to a set of conditional moment inequalities that provide partial identifying information about the parameters of the observed covariate index functions, while avoiding the incidental parameter problem. We extend our framework to allow for: certain types of endogenous regressors (including lagged dependent variables and conditional heteroskedasticity), set-valued covariates, and parametric distributional information on disturbances.

JEL-codes: C14 C23 C25 (search for similar items in EconPapers)
Date: 2016-01
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-upt
Note: IO LS
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Citations: View citations in EconPapers (17)

Published as Ariel Pakes & Jack Porter, 2024. "Moment inequalities for multinomial choice with fixed effects," Quantitative Economics, Econometric Society, vol. 15(1), pages 1-25, January.

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Journal Article: Moment inequalities for multinomial choice with fixed effects (2024)
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