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

See all articles by Jeremy T. Fox

Jeremy T. Fox

University of Michigan at Ann Arbor

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

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

Jeremy T. Fox (Contact Author)

University of Michigan at Ann Arbor ( email )

500 S. State Street
Ann Arbor, MI 48109
United States

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