Flexible Covariance Structures for Categorical Dependent Variables through Finite Mixtures of Generalized Extreme Value Models

Joffre Swait

Journal of Business & Economic Statistics, 2003, vol. 21, issue 1, 80-87

Abstract: A new class of finite mixture discrete choice models, denoted FinMix (fin miks), is introduced. These arise from the combination of a finite number of core Generalized Extreme Value (GEV) models to achieve more flexible functional forms, particularly in terms of error covariance structures. Example members of the class include combinations of (1) Multinomial Logit (MNL) models with differing scales, (2) multinomial logit with nested MNL models, (3) tree extreme value models with differing preference trees, and so on. Compatibility of FinMix models with utility maximization is easily determined, which permits empirical investigation of the suitability of specific model forms for economic evaluation exercises.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:21:y:2003:i:1:p:80-87

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