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The estimation of generalized extreme value models from choice-based samples

  • Bierlaire, M.
  • Bolduc, D.
  • McFadden, D.

In the presence of choice-based sampling strategies for data collection, the property of multinomial logit (MNL) models, that consistent estimates of all parameters but the constants can be obtained from an exogenous sample maximum likelihood (ESML) estimation, does not hold in general for generalized extreme value (GEV) models. We propose a consistent ESML estimator for GEV models in this context. We first identify a specific class of GEV models with the desired property that, similarly to MNL, the constants absorb the potential bias. We then propose a new and simple weighted conditional maximum likelihood (WCML) estimator for the more general case. Contrarily to the weighted exogenous sample maximum likelihood (WESML) estimator by Manski and Lerman [Manski, C., Lerman, S., 1977. The estimation of choice probabilities from choice-based samples. Econometrica 45, 1977-1988], the new WCML estimator does not require an external knowledge of the market shares. We show that this applies also to the case where alternatives are sampled from a large choice set, and we illustrate the use of the estimator on synthetic and real data.

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Article provided by Elsevier in its journal Transportation Research Part B: Methodological.

Volume (Year): 42 (2008)
Issue (Month): 4 (May)
Pages: 381-394

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Handle: RePEc:eee:transb:v:42:y:2008:i:4:p:381-394
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  1. White, Halbert, 1987. "A Misspecified Model," Econometric Theory, Cambridge University Press, vol. 3(02), pages 306-306, April.
  2. Imbens, G.W., 1991. "An Efficient Method Of Moments Estimator For Discrete Choice Models With Choice-Based Sampling," Harvard Institute of Economic Research Working Papers 1546, Harvard - Institute of Economic Research.
  3. Monfort, Alain, 1992. "Exogenous and Endogenous Sampling," Econometric Theory, Cambridge University Press, vol. 8(03), pages 427-428, September.
  4. Morgenthaler, S. & Vardi, Y., 1986. "Choice-based samples : A non-parametric approach," Journal of Econometrics, Elsevier, vol. 32(1), pages 109-125, June.
  5. Manski, Charles F & Lerman, Steven R, 1977. "The Estimation of Choice Probabilities from Choice Based Samples," Econometrica, Econometric Society, vol. 45(8), pages 1977-88, November.
  6. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  7. Daly, Andrew & Bierlaire, Michel, 2006. "A general and operational representation of Generalised Extreme Value models," Transportation Research Part B: Methodological, Elsevier, vol. 40(4), pages 285-305, May.
  8. Monfort, Alain, 1996. "A Reappraisal of Misspecified Econometric Models," Econometric Theory, Cambridge University Press, vol. 12(04), pages 597-619, October.
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