A guide to heterogeneity features captured by parametric and nonparametric mixing distributions for the mixed logit model

Unobserved heterogeneity is popularly modelled using the mixed logit model, so called because it is a mixture of standard conditional logit models. Although the mixed logit model can, in theory, approximate any random utility model with an appropriate mixing distribution, there is little guidance on how to select such a distribution. This study contributes to suggestions on distribution selection by describing the heterogeneity features which can be captured by established parametric mixing distributions and more recently introduced nonparametric mixing distributions, both of a discrete and continuous nature. We provide empirical illustrations of each feature in turn using simple mixing distributions which focus on the feature at hand.