Estimating Semi-Parametric Panel Multinomial Choice Models Using Cyclic Monotonicity
Xiaoxia Shi, Matthew Shum, Wei Song
Econometrica · 2018 · Volume 86 · Issue 2
Abstract
This paper proposes a new semi-parametric identification and estimation approach to multinomial choice models in a panel data setting with individual fixed effects. Our approach is based oncyclic monotonicity, which is a defining convex-analytic feature of the random utility framework underlying multinomial choice models. From the cyclic monotonicity property, we derive identifying inequalities without requiring any shape restrictions for the distribution of the random utility shocks. These inequalities point identify model parameters under straightforward assumptions on the covariates. We propose a consistent estimator based on these inequalities.
Keywords
Cyclic monotonicity, multinomial choice, panel data, fixed effects, convex analysis
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