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Econometrica Vol. 86 No. 2 2018

Estimating Semi-Parametric Panel Multinomial Choice Models Using Cyclic Monotonicity

Xiaoxia Shi1,2,3,4; Matthew Shum1,2,3,4; Wei Song

1 University of Wisconsin–Madison · 2 Xiamen University · 3 Cornell University · 4 Chicago State University

Abstract

This paper proposes a new semi‐parametric identification and estimation approach to multinomial choice models in a panel data setting with individual fixed effects. Our approach is based on cyclic monotonicity, which is a defining convex‐analytic feature of the random utility framework underlying multinomial choice models. From the cyclic monotonicity property, we derive identifying inequalities without requiring any shape restrictions for the distribution of the random utility shocks. These inequalities point identify model parameters under straightforward assumptions on the covariates. We propose a consistent estimator based on these inequalities.

DOI
10.3982/ecta14115
Volume
86
Issue
2
Pages
737-761
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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