Nonseparable multinomial choice models in cross-section and panel data
From MaRDI portal
Publication:2000851
DOI10.1016/J.JECONOM.2018.12.008zbMATH Open1452.62899arXiv1706.08418OpenAlexW2951546658WikidataQ128761295 ScholiaQ128761295MaRDI QIDQ2000851FDOQ2000851
Authors: Victor Chernozhukov, Iván Fernández-Val, Whitney Newey 
Publication date: 1 July 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: Multinomial choice models are fundamental for empirical modeling of economic choices among discrete alternatives. We analyze identification of binary and multinomial choice models when the choice utilities are nonseparable in observed attributes and multidimensional unobserved heterogeneity with cross-section and panel data. We show that derivatives of choice probabilities with respect to continuous attributes are weighted averages of utility derivatives in cross-section models with exogenous heterogeneity. In the special case of random coefficient models with an independent additive effect, we further characterize that the probability derivative at zero is proportional to the population mean of the coefficients. We extend the identification results to models with endogenous heterogeneity using either a control function or panel data. In time stationary panel models with two periods, we find that differences over time of derivatives of choice probabilities identify utility derivatives "on the diagonal," i.e. when the observed attributes take the same values in the two periods. We also show that time stationarity does not identify structural derivatives "off the diagonal" both in continuous and multinomial choice panel models.
Full work available at URL: https://arxiv.org/abs/1706.08418
Recommendations
- Constructive identification in some nonseparable discrete choice models
- Heterogeneous choice
- Nonparametric identification and estimation of polychotomous choice models
- Identification of Marginal Effects in Nonseparable Models Without Monotonicity
- Nonparametric identification in nonseparable panel data models with generalized fixed effects
Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
- Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
- Nonparametric identification in panels using quantiles
- Average and quantile effects in nonseparable panel models
- Consistent Estimation of Scaled Coefficients
- Identification and estimation of triangular simultaneous equations models without additivity
- Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data
- Identification and estimation of average partial effects in ``irregular correlated random coefficient panel data models
- The sorted effects method: discovering heterogeneous effects beyond their averages
- Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors
- Identification of Marginal Effects in Nonseparable Models Without Monotonicity
- Rank estimation of a generalized fixed-effects regression model
- A Semiparametric Maximum Likelihood Estimator
- Endogeneity in Semiparametric Binary Response Models
- Automobile Prices in Market Equilibrium
- Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects
- A Bayesian mixed logit-probit model for multinomial choice
- Nonparametric identification in nonseparable panel data models with generalized fixed effects
- Nonparametric estimation in random coefficients binary choice models
- A Poisson mixture model of discrete choice
- What do quantile regressions identify for general structural functions?
- Estimating semi-parametric panel multinomial choice models using cyclic monotonicity
Cited In (6)
- Annals issue in honor of Jerry A. Hausman. Editors' introduction
- Nonparametric identification and estimation of polychotomous choice models
- Copula Based Polychotomous Choice Selectivity Model: Application to Occupational Choice and Wage Determination of Older Workers
- Integrability and identification in multinomial choice models
- Sieve BLP: a semi-nonparametric model of demand for differentiated products
- Constructive identification in some nonseparable discrete choice models
This page was built for publication: Nonseparable multinomial choice models in cross-section and panel data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000851)
