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A survey of preference estimation with unobserved choice set heterogeneity

Gregory S. Crawford, Rachel Griffith and Alessandro Iaria

Journal of Econometrics, 2021, vol. 222, issue 1, 4-43

Abstract: We provide an introduction to the estimation of discrete choice models when choice sets are heterogeneous and unobserved to the econometrician. We survey the two most popular approaches: “integrating over” and “differencing out” unobserved choice sets. Inspired by Chamberlain (1980)’s original idea of constructing sufficient statistics from observed choices, we introduce the term “sufficient set” to refer to any combination of observed choices that lies within the true but unobserved choice set. The concept of sufficient set helps to unify notation and organize our thinking, to map econometric assumptions onto economic models, and to implement both methods in practice.

Keywords: Discrete choice models; Panel data; Unobserved choice sets; Unobserved heterogeneity; Sufficient sets (search for similar items in EconPapers)
JEL-codes: C18 C33 C35 D12 D83 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jeconom.2020.07.024

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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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