Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Jan, 2024, Volume 15, Issue 1
https://doi.org/10.3982/QE1776
p. 1-25
Ariel Pakes, Jack Porter
This paper proposes a new approach to identification of the semiparametric multinomial choice model with fixed effects. The framework employed is the semiparametric version of the traditional multinomial logit with the fixed‐effects model (Chamberlain (1980)). This semiparametric multinomial choice model places no restrictions on either the joint distribution of the random utility disturbances across choices or their within group (or across time) correlations. We show that a novel within‐group comparison leads to a set of conditional moment inequalities. Our main finding shows that the derived conditional moment inequalities yield the sharp identified set for the random utility covariate index, while avoiding the incidental parameter problem. Specializing this result to the binary choice case shows that Manski (1987)'s conditional moment inequalities still lead to sharp bounds without restrictions on covariates.
Ariel Pakes and Jack Porter
This zip file contains the replication files for the manuscript.
Ariel Pakes and Jack Porter
This supplemental appendix contains material not found within the manuscript.
August 27, 2024