The Random Coefficients Logit Model Is Identified
The random coefficients, multinomial choice logit model has been widely used in empirical choice analysis for the last 30 years. We are the first to prove that the distribution of random coefficients in this model is nonparametrically identified. Our approach exploits the structure of the logit model, and so requires no monotonicity assumptions and requires variation in product characteristics within only an infinitesimally small open set. Our identification argument is constructive and may be applied to other choice models with random coefficients.
Bajari thanks the National Science Foundation, various grants, for generous research support. Fox thanks the National Science Foundation, the Olin Foundation, and the Stigler Center for generous funding. Thanks to helpful comments from Azeem Shaikh. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.
Fox, Jeremy T. & Kim, Kyoo il & Ryan, Stephen P. & Bajari, Patrick, 2012. "The random coefficients logit model is identified," Journal of Econometrics, Elsevier, vol. 166(2), pages 204-212. citation courtesy of