TY  - JOUR
AU  - Berry,Steven T.
AU  - Haile,Philip A.
TI  - Nonparametric Identification of Multinomial Choice Demand Models with Heterogeneous Consumers
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15276
PY  - 2009
Y2  - August 2009
UR  - http://www.nber.org/papers/w15276
L1  - http://www.nber.org/papers/w15276.pdf
N1  - Author contact info:
Steven T. Berry
Yale University Department of Economics
Box 208264
37 Hillhouse Avenue
New Haven, CT 06520-8264
Tel: 203/432-3556
Fax: 203/432-6323
E-Mail: steven.berry@yale.edu

Philip Haile
Department of Economics
Yale University
37 Hillhouse Avenue
P.O. Box 208264
New Haven, CT  06520
Tel: 203/432-3568
Fax: 203/432-6323
E-Mail: philip.haile@yale.edu
AB  - We consider identification of nonparametric random utility models of multinomial choice using "micro data," i.e., observation of the characteristics and choices of individual consumers. Our model of preferences nests random coefficients discrete choice models widely used in practice with parametric functional form and distributional assumptions. However, the model is nonparametric and distribution free. It allows choice- specific unobservables, endogenous choice characteristics, unknown heteroskedasticity, and high-dimensional correlated taste shocks. Under standard "large support" and instrumental variables assumptions, we show identifiability of the random utility model. We demonstrate robustness of these results to relaxation of the large support condition and show that when it is replaced with a weaker "common choice probability" condition, the demand structure is still identified. We show that key maintained hypotheses are testable.
ER  -