Estimating Choice Models with Unobserved Expectations over Attributes

Mathias Reynaert, Wenxuan Xu and Hanlin Zhao
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Wenxuan Xu: Unknown
Hanlin Zhao: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse

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Abstract: Agents often make choices based on expectations about uncertain attributes, yet the information used to form these expectations is typically unobserved by researchers. We develop two methods to estimate discrete choice models in which agents form expectations using heterogeneous and unobserved information sets. Preferences are point-identified by approximating the latent information structure with a finite mixture of information types, or set-identified with partial information about expectations. Both approaches apply to individual- and market-level data with minimal assumptions on expectation formation. Applications to firms' exporting decisions and consumers' automobile purchases show that accounting for unobserved information substantially affects estimated preferences.

Keywords: Discrete choice; unobserved information; mixture model; set identification. (search for similar items in EconPapers)
Date: 2026-10-21
Note: View the original document on HAL open archive server: https://hal.science/hal-05031042v2
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Related works:
Working Paper: Estimating Choice Models with Unobserved Expectations over Attributes (2026)
Working Paper: Estimating Choice Models with Unobserved Expectations over Attributes (2024)
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