Abstract
We provide an introduction to the estimation of discrete choice models when choice sets are heterogeneous and unobserved to the econometrician. We survey the two most popular approaches: “integrating over” and “differencing out” unobserved choice sets. Inspired by Chamberlain (1980)’s original idea of constructing sufficient statistics from observed choices, we introduce the term “sufficient set” to refer to any combination of observed choices that lies within the true but unobserved choice set. The concept of sufficient set helps to unify notation and organize our thinking, to map econometric assumptions onto economic models, and to implement both methods in practice.
Original language | English |
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Number of pages | 40 |
Journal | Journal of Econometrics |
Early online date | 6 Aug 2020 |
DOIs | |
Publication status | Published - May 2021 |
Research Groups and Themes
- ECON Econometrics
- ECON CEPS Data
Keywords
- Discrete Choice Models
- Panel Data
- Unobserved Choice Sets
- Unobserved Heterogeneity
- Sufficient Sets