A Note on Nonparametric Identification of Distributions of Random Coefficients in Multinomial Choice Models
I prove that the joint distribution of random coefficients and additive errors is identified in a mulltinomial choice model. No restrictions are imposed on the support of the random coefficients and additive errors. The proof uses large support variation in choice-specific explanatory variables following Lewbel (2000) but does not rely on an identification at infinity technique where the payoffs of all but two choices are set to minus infinity.
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- Steven T. Berry & Philip A. Haile, 2009.
"Nonparametric Identification of Multinomial Choice Demand Models with Heterogeneous Consumers,"
Cowles Foundation Discussion Papers
1718, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.
- Steven T. Berry & Philip A. Haile, 2009. "Nonparametric Identification of Multinomial Choice Demand Models with Heterogeneous Consumers," NBER Working Papers 15276, National Bureau of Economic Research, Inc.
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