How McFadden met Rockafellar and learnt to do more with less

Jesper R.-V. Soerensen and Mogens Fosgerau
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Jesper R.-V. Soerensen: Department of Economics, University of Copenhagen, Denmark

No 20-01, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: We study the additive random utility model of discrete choice under minimal assumptions. We make no assumptions regarding the distribution of random utility components or the functional form of systematic utility components. Exploiting the power of convex analysis, we are nevertheless able to generalize a range of important results. We characterize demand with a generalized Williams-Daly-Zachary theorem. A similarly generalized version of Hotz-Miller inversion yields constructive partial identification of systematic utilities. Estimators based on our partial identification result remain well defined in the presence of zeros in demand. We also provide necessary and sufficient conditions for point identification.

Keywords: Additive random utility model; Discrete choice; Convex duality; Demand inversion; Partial identification (search for similar items in EconPapers)
JEL-codes: C25 C6 D11 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2020-12-17
New Economics Papers: this item is included in nep-dcm, nep-ecm, nep-gen, nep-ore and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Journal Article: How McFadden met Rockafellar and learned to do more with less (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:2001

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