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Is the distribution of resolvable uncertainty Type I extreme value? A test for random coefficient models using choice probabilities

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  • Méango, Romuald

Abstract

Probabilistic stated choices allow respondents to express uncertainty about their intended decisions. They are typically paired with random-coefficient models (RCM) that impose Type I extreme value (EV1) resolvable uncertainty. This paper proposes a test of these assumptions based on the restrictions imposed by the EV1 distribution on the population distribution of interquantile ranges of ex ante returns. Our test is rejected in four studies published in leading economics journals. In these applications, EV1-based estimators often perform reasonably well for median willingness-to-pay (WTP), but are less reliable for distributional objects such as the full WTP distribution.

Suggested Citation

  • Méango, Romuald, 2026. "Is the distribution of resolvable uncertainty Type I extreme value? A test for random coefficient models using choice probabilities," Economics Letters, Elsevier, vol. 267(C).
    • Handle: RePEc:eee:ecolet:v:267:y:2026:i:c:s0165176526002582
    DOI: 10.1016/j.econlet.2026.113064
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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