Bayesian nonparametric mixed random utility models
We propose a mixed multinomial logit model, with the mixing distribution assigned a general (nonparametric) stick-breaking prior. We present a Markov chain Monte Carlo (MCMC) algorithm to sample and estimate the posterior distribution of the model’s parameters. The algorithm relies on a Gibbs (slice) sampler that is useful for Bayesian nonparametric (infinite-dimensional) models. The model and algorithm are illustrated through the analysis of real data involving 10 choice alternatives, and we prove the posterior consistency of the model.
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Volume (Year): 56 (2012)
Issue (Month): 6 ()
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- Burda, Martin & Harding, Matthew & Hausman, Jerry, 2008.
"A Bayesian mixed logit-probit model for multinomial choice,"
Journal of Econometrics,
Elsevier, vol. 147(2), pages 232-246, December.
- Martin Burda & Matthew C. Harding & Jerry Hausman, 2008. "A Bayesian mixed logit-probit model for multinomial choice," CeMMAP working papers CWP23/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555, Diciembre.
- Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2.
- Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521747387.
- Greg M. Allenby & Peter E. Rossi, 1991. "Quality Perceptions and Asymmetric Switching Between Brands," Marketing Science, INFORMS, vol. 10(3), pages 185-204.
- 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.
- Stephen G. Walker & Antonio Lijoi & Igor Prunster, 2005. "Data tracking and the understanding of Bayesian consistency," Biometrika, Biometrika Trust, vol. 92(4), pages 765-778, December. Full references (including those not matched with items on IDEAS)
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