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Non-Linear Mixed Logit

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  • Steffen Andersen

    ()
    (Copenhagen Business School)

  • Glenn W. Harrison

    ()
    (Robinson College of Business, Georgia State University)

  • Morten Lau

    ()
    (Durham Business School)

  • Elisabet E. Rutstroem

    ()
    (Robinson College of Business, Georgia State University)

Abstract

We develop an extension of the familiar linear mixed logit model to allow for the direct estimation of parametric non-linear functions defined over structural parameters. Classic applications include the estimation of coefficients of utility functions to characterize risk attitudes and discounting functions to characterize impatience. There are several unexpected benefits of this extension, apart from the ability to directly estimate structural parameters of theoretical interest.

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Bibliographic Info

Paper provided by Durham University Business School in its series Working Papers with number 2011_04.

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Date of creation: 01 Jan 2011
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Handle: RePEc:dur:durham:2011_04

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Postal: Durham University Business School, Mill Hill Lane, Durham DH1 3LB, England
Phone: +44 (0)191 334 5200
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Web page: http://www.dur.ac.uk/business
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  1. Hey, John D & Orme, Chris, 1994. "Investigating Generalizations of Expected Utility Theory Using Experimental Data," Econometrica, Econometric Society, vol. 62(6), pages 1291-1326, November.
  2. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470.
  3. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115, April.
  4. Chen, Heng Z. & Randall, Alan, 1997. "Semi-nonparametric estimation of binary response models with an application to natural resource valuation," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 323-340.
  5. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555, April.
  6. White, Halbert, 1980. "Using Least Squares to Approximate Unknown Regression Functions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 149-70, February.
  7. Hans Binswanger, 1981. "Attitudes toward risk: Theoretical implications of an experiment in rural india," Artefactual Field Experiments 00010, The Field Experiments Website.
  8. Joseph A. Herriges & Daniel J. Phaneuf, 2002. "Inducing Patterns of Correlation and Substitution in Repeated Logit Models of Recreation Demand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(4), pages 1076-1090.
  9. Matzkin, Rosa L, 1991. "Semiparametric Estimation of Monotone and Concave Utility Functions for Polychotomous Choice Models," Econometrica, Econometric Society, vol. 59(5), pages 1315-27, September.
  10. Steffen Andersen & Glenn W. Harrison & Morten I. Lau & E. Elisabet Rutström, 2008. "Eliciting Risk and Time Preferences," Econometrica, Econometric Society, vol. 76(3), pages 583-618, 05.
  11. David M. Drukker & Richard Gates, 2006. "Generating Halton sequences using Mata," Stata Journal, StataCorp LP, vol. 6(2), pages 214-228, June.
  12. Arne Risa Hole, 2007. "Fitting mixed logit models by using maximum simulated likelihood," Stata Journal, StataCorp LP, vol. 7(3), pages 388-401, September.
  13. Daniel McFadden, 2001. "Economic Choices," American Economic Review, American Economic Association, vol. 91(3), pages 351-378, June.
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Cited by:
  1. Antoni Bosch-Domènech & José Montalvo & Rosemarie Nagel & Albert Satorra, 2010. "A finite mixture analysis of beauty-contest data using generalized beta distributions," Experimental Economics, Springer, vol. 13(4), pages 461-475, December.
  2. Burton, Michael & Rigby, Dan, 2012. "The Market for Essays," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152195, Australian Agricultural and Resource Economics Society.
  3. Kerri Brick & Martine Visser & Justine Burns, 2012. "Risk Aversion: Experimental Evidence from South African Fishing Communities," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(1), pages 133-152.
  4. Achtnicht, Martin, 2012. "German car buyers' willingness to pay to reduce CO2 emissions," ZEW Discussion Papers 09-058 [rev.], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

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