Identification of Semiparametric Panel Multinomial Choice Models with Infinite-Dimensional Fixed Effects

Wayne Yuan Gao and Ming Li

Papers from arXiv.org

Abstract: This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an additively nonseparable way, thus incorporating rich forms of unobserved heterogeneity. Our identification strategy exploits multivariate monotonicity in parametric indexes, and uses the logical contraposition of an intertemporal inequality on choice probabilities to obtain identifying restrictions. We provide a consistent estimation procedure, and demonstrate the practical advantages of our method with Monte Carlo simulations and an empirical illustration on popcorn sales with the Nielsen data.

Date: 2020-08, Revised 2024-11
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2009.00085

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