Work

Identification of Semiparametric Panel Multinomial Choice Models with Infinite-Dimensional Fixed Effects

Year: 2020

Type: preprint

Abstract: This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an additively nonseparable way, thus incorporating rich forms of unobserved heterogeneity. Our identification strategy exploits multivariate monotonicity in parametric indexes, and uses the logical contraposition of an intertemporal inequality on choice probabilities to obtain identifying restrictions. We provide a consistent estimation procedure, and demonstrate the practical advantages of our method with Monte Carlo simulations and an empirical illustration on popcorn sales with the Nielsen data.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2009.00085

Authors: Gao, Wayne Yuan, Li, Ming

Institutions: University of Pennsylvania, National University of Singapore

Language: English

Topic: Spatial and Panel Data Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: University of Pennsylvania, Northwestern University, KU Leuven, Chinese University of Hong Kong, University of California, San Diego

OpenAlex ID: W3087974104

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Cited by: 8

Related to: 10