Estimating Choice Models with Unobserved Expectations over Attributes

Mathias Reynaert, Wenxuan Xu and Hanlin Zhao

No 24-1571, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: When making choices, agents often must form expectations about option attributes in the choice set. The information used to form these expectations is usually unobserved by researchers. We develop a discrete choice model where agents make choices with heterogeneous information sets that are unobserved. We demonstrate that preferences can be point-identified through a finite mixture approximation of the unobserved information structure, or set-identified using knowledge from a single agent type. These approaches are compatible with both individual- and market-level data. Applications include replicating Dickstein and Morales (2018) and estimating consumer valuations for future fuel costs without assumptions on expectation formation.

Keywords: Discrete choice; unobserved information; mixture model; set identification (search for similar items in EconPapers)
JEL-codes: C5 C8 D8 (search for similar items in EconPapers)
Date: 2024-09-13
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ipr
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:129713

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