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Non-Linear Mixed Logit

  • Andersen, Steffen


    (Department of Economics, Copenhagen Business School)

  • Harrison, Glenn W.
  • Hole, Arne Risa
  • Rutström, Elisabet E.

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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Paper provided by Copenhagen Business School, Department of Economics in its series Working Papers with number 04-2010.

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Length: 19 pages
Date of creation: 01 Apr 2010
Date of revision:
Handle: RePEc:hhs:cbsnow:2010_004
Contact details of provider: Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark
Phone: 38 15 25 75
Fax: 38 15 34 99
Web page:

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  1. 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.
  2. 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.
  3. 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.
  4. McFadden, Daniel L., 2000. "Economic Choices," Nobel Prize in Economics documents 2000-6, Nobel Prize Committee.
  5. 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.
  6. Arne Risa Hole, 2007. "Fitting mixed logit models by using maximum simulated likelihood," Stata Journal, StataCorp LP, vol. 7(3), pages 388-401, September.
  7. David M. Drukker & Richard Gates, 2006. "Generating Halton sequences using Mata," Stata Journal, StataCorp LP, vol. 6(2), pages 214-228, June.
  8. 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.
  9. Hans Binswanger, 1981. "Attitudes toward risk: Theoretical implications of an experiment in rural india," Artefactual Field Experiments 00010, The Field Experiments Website.
  10. repec:cup:cbooks:9780521766555 is not listed on IDEAS
  11. 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.
  12. 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.
  13. Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2.
  14. repec:cup:cbooks:9780521747387 is not listed on IDEAS
  15. repec:cup:cbooks:9780521586115 is not listed on IDEAS
  16. repec:cup:cbooks:9780521848053 is not listed on IDEAS
  17. repec:cup:cbooks:9780521355643 is not listed on IDEAS
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