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Choice probability generating functions

Mogens Fosgerau (), Daniel McFadden and Michel Bierlaire

MPRA Paper from University Library of Munich, Germany

Abstract: This paper establishes that every random utility discrete choice model (RUM) has a representation that can be characterized by a choice-probability generating function (CPGF) with specific properties, and that every function with these specific properties is consistent with a RUM. The choice probabilities from the RUM are obtained from the gradient of the CPGF. Mixtures of RUM are characterized by logarithmic mixtures of their associated CPGF. The paper relates CPGF to multivariate extreme value distributions, and reviews and extends methods for constructing generating functions for applications. The choice probabilities of any ARUM may be approximated by a cross-nested logit model. The results for ARUM are extended to competing risk survival models.

Keywords: Discrete choice; random utility; mixture models; duration models; logit; generalised extreme value; multivariate extreme value (search for similar items in EconPapers)
JEL-codes: C14 C35 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-upt
Date: 2010
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https://mpra.ub.uni-muenchen.de/24214/1/MPRA_paper_24214.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/67055/1/MPRA_paper_24214.pdf revised version (application/pdf)

Related works:
Working Paper: Choice Probability Generating Functions (2012) Downloads
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