The random coefficients logit model is identified
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Ryan_The Random.pdf
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Author(s)
Fox, Jeremy T.
Kim, Kyoo il
Ryan, Stephen P.
Bajari, Patrick
Date Issued
September 2011
Journal
Journal of Econometrics
Publisher
Elsevier
Citation
Fox, Jeremy T., Kyoo il Kim, Stephen P. Ryan, and Patrick Bajari. “The Random Coefficients Logit Model Is Identified.” Journal of Econometrics 166, no. 2 (February 2012): 204–212.
Version
Author's final manuscript
Abstract
The random coefficients multinomial choice logit model, also known as the mixed logit, has been widely used in empirical choice analysis for the last thirty years. We prove that the distribution of random coefficients in the multinomial logit model is nonparametrically identified. Our approach requires variation in product characteristics only locally and does not rely on the special regressors with large supports used in related papers. One of our two identification arguments is constructive. Both approaches may be applied to other choice models with random coefficients.
MIT Department
Massachusetts Institute of Technology. Department of Economics
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Creative Commons Attribution-Noncommercial-NoDerivatives
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DOI of Published Version
https://doi.org/10.1016/j.jeconom.2011.09.002
