Semi-parametric estimation of multinomial choice model with unobserved heterogeneity

Changbiao Liu

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 24, 8644-8656

Abstract: We propose a semi-parametric method for estimating the multinomial choice model using cyclical monotonicity moment inequalities. In our semiparametric approach, we do not specify the parametric distribution for the utility shocks, thus accommodating a wide variety of substitution patterns among alternatives. Compared with the conditional likelihood estimation method proposed by Chamberlain and the method proposed by Shi, Shum, and Song, simulations show that our method has some advantages in terms of mean bias, standard deviation and root mean squared error.

Date: 2022
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DOI: 10.1080/03610926.2021.1901923

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