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The random coefficients logit model is identified

Jeremy Fox, Kyoo il Kim (), Stephen Ryan () and Patrick Bajari

Journal of Econometrics, 2012, vol. 166, issue 2, 204-212

Abstract: The random coefficients multinomial choice logit model, also known as the mixed logit, has been widely used in empirical choice analysis for the last thirty years. We prove that the distribution of random coefficients in the multinomial logit model is nonparametrically identified. Our approach requires variation in product characteristics only locally and does not rely on the special regressors with large supports used in related papers. One of our two identification arguments is constructive. Both approaches may be applied to other choice models with random coefficients.

Date: 2012
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Working Paper: The Random Coefficients Logit Model Is Identified (2009) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:166:y:2012:i:2:p:204-212

DOI: 10.1016/j.jeconom.2011.09.002

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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