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Semi-parametric estimation of multinomial choice model with unobserved heterogeneity

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  • Changbiao Liu

Abstract

We propose a semi-parametric method for estimating the multinomial choice model using cyclical monotonicity moment inequalities. In our semiparametric approach, we do not specify the parametric distribution for the utility shocks, thus accommodating a wide variety of substitution patterns among alternatives. Compared with the conditional likelihood estimation method proposed by Chamberlain and the method proposed by Shi, Shum, and Song, simulations show that our method has some advantages in terms of mean bias, standard deviation and root mean squared error.

Suggested Citation

  • Changbiao Liu, 2022. "Semi-parametric estimation of multinomial choice model with unobserved heterogeneity," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(24), pages 8644-8656, December.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:24:p:8644-8656
    DOI: 10.1080/03610926.2021.1901923
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