The Random Coefficients Logit Model Is Identified
Kyoo il Kim () and
Stephen Ryan ()
No 14934, NBER Working Papers from National Bureau of Economic Research, Inc
The random coefficients, multinomial choice logit model has been widely used in empirical choice analysis for the last 30 years. We are the first to prove that the distribution of random coefficients in this model is nonparametrically identified. Our approach exploits the structure of the logit model, and so requires no monotonicity assumptions and requires variation in product characteristics within only an infinitesimally small open set. Our identification argument is constructive and may be applied to other choice models with random coefficients.
JEL-codes: C14 C25 L00 (search for similar items in EconPapers)
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Published as Fox, Jeremy T. & Kim, Kyoo il & Ryan, Stephen P. & Bajari, Patrick, 2012. "The random coefficients logit model is identified," Journal of Econometrics, Elsevier, vol. 166(2), pages 204-212.
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