A Note on Nonparametric Identification of Distributions of Random Coefficients in Multinomial Choice Models
6 Pages Posted: 25 Jul 2017 Last revised: 17 Jul 2023
Date Written: July 2017
Abstract
I prove that the joint distribution of random coefficients and additive errors is identified in a mulltinomial choice model. No restrictions are imposed on the support of the random coefficients and additive errors. The proof uses large support variation in choice-specific explanatory variables following Lewbel (2000) but does not rely on an identification at infinity technique where the payoffs of all but two choices are set to minus infinity.
Suggested Citation: Suggested Citation
Fox, Jeremy T., A Note on Nonparametric Identification of Distributions of Random Coefficients in Multinomial Choice Models (July 2017). NBER Working Paper No. w23621, Available at SSRN: https://ssrn.com/abstract=3007501
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