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The Review of Economics and Statistics 2026

Identification of Semiparametric Panel Multinomial Choice Models with Infinite-Dimensional Fixed Effects

Wayne Yuan Gao1; Ming Li2

1 Department of Economics, University of Pennsylvania [email protected] · 2 Department of Economics and Risk Management Institute, National University of Singapore [email protected]

Abstract

This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an additively nonseparable way, thus incorporating rich forms of unobserved heterogeneity. Our identification strategy exploits multivariate monotonicity in parametric indices, and uses the logical contraposition of an intertemporal inequality on choice probabilities to obtain identifying restrictions. We provide a consistent estimation procedure, and demonstrate the practical advantages of our method with Monte Carlo simulations and an empirical illustration on popcorn sales with the NielsenIQ data.

DOI
10.1162/rest.a.1708
Pages
1-45
Language
en
Sources
openalex crossref

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