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Non-linear mixed logit

  • Steffen Andersen

    ()

  • Glenn Harrison

    ()

  • Arne Hole

    ()

  • Morten Lau

    ()

  • E. Rutström

    ()

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. A classic application is the estimation of coefficients of utility functions to characterize risk attitudes. There are several unexpected benefits of this extension, apart from the ability to directly estimate structural parameters of theoretical interest.

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File URL: http://hdl.handle.net/10.1007/s11238-011-9277-0
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Article provided by Springer in its journal Theory and Decision.

Volume (Year): 73 (2012)
Issue (Month): 1 (July)
Pages: 77-96

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Handle: RePEc:kap:theord:v:73:y:2012:i:1:p:77-96
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100341

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  1. 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.
  2. Hans Binswanger, 1981. "Attitudes toward risk: Theoretical implications of an experiment in rural india," Artefactual Field Experiments 00010, The Field Experiments Website.
  3. Arne Risa Hole, 2007. "Fitting mixed logit models by using maximum simulated likelihood," Stata Journal, StataCorp LP, vol. 7(3), pages 388-401, September.
  4. 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.
  5. David M. Drukker & Richard Gates, 2006. "Generating Halton sequences using Mata," Stata Journal, StataCorp LP, vol. 6(2), pages 214-228, June.
  6. Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2, March.
  7. Daniel McFadden, 2001. "Economic Choices," American Economic Review, American Economic Association, vol. 91(3), pages 351-378, June.
  8. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, May.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
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