TY  - JOUR
AU  - Fox,Jeremy T.
AU  - Gandhi,Amit
TI  - Identifying Heterogeneity in Economic Choice Models
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15147
PY  - 2009
Y2  - July 2009
UR  - http://www.nber.org/papers/w15147
L1  - http://www.nber.org/papers/w15147.pdf
N1  - Author contact info:
Jeremy T. Fox
Economics Department
University of Michigan
238 Lorch Hall
611 Tappan Ave
Ann Arbor, MI 48109
Tel: 734-330-2854
Fax: 734-274-2331
E-Mail: jeremyfox@gmail.com

Amit Gandhi
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706-1393
E-Mail: agandhi@ssc.wisc.edu
AB  - We show how to nonparametrically identify the distribution that characterizes heterogeneity among agents in a general class of structural choice models. We introduce an axiom that we term separability and prove that separability of a structural model ensures identification. The main strength of separability is that it makes verifying the identification of nonadditive models a tractable task because it is a condition that is stated directly in terms of the choice behavior of agents in the model. We use separability to prove several new results. We prove the identification of the distribution of random functions and marginal effects in a nonadditive regression model. We also identify the distribution of utility functions in the multinomial choice model. Finally, we extend 2SLS to have random functions in both the first and second stages. This instrumental variables strategy applies equally to multinomial choice models with endogeneity.
ER  -