Discrete and Continuous Choice, Max-Stable Processes, and Independence from Irrelevant Attributes

John Dagsvik

Econometrica, 1994, vol. 62, issue 5, 1179-1205

Abstract: The generalized extreme value model was developed by D. McFadden for the case with discrete choice sets. The present paper extends this model to cases with both discrete and continuous choice sets and choice sets that are unobservable by the analyst. The author also proposes behavioral assumptions that justify random utility functions (processes) that have a max-stable structure, i.e., utility processes where the finite dimensional distributions are of the multivariate extreme value type. Finally, he derives nonparametrically testable implications for the choice probabilities in the continuous case. Copyright 1994 by The Econometric Society.

Date: 1994
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