A Survey of Preference Estimation with Unobserved Choice Set Heterogeneity

Rachel Griffith; Greg Crawford; Alessandro Iaria

doi:10.1016/j.jeconom.2020.07.024

A Survey of Preference Estimation with Unobserved Choice Set Heterogeneity

Rachel Griffith, Greg Crawford, Alessandro Iaria

Economics

Research output: Contribution to journal › Article › peer-review

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
Article number	0
Pages (from-to)	4-43
Number of pages	43
Journal	Journal of Econometrics
Volume	222
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2020.07.024
Publication status	Published - May 2021

Keywords

Discrete choice models
Panel data
Sufficient sets
Unobserved choice sets
Unobserved heterogeneity

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10.1016/j.jeconom.2020.07.024Licence: CC BY

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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){\textquoteright}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.",

keywords = "Discrete choice models, Panel data, Sufficient sets, Unobserved choice sets, Unobserved heterogeneity",

author = "Rachel Griffith and Greg Crawford and Alessandro Iaria",

note = "Funding Information: Griffith gratefully acknowledges financial support from the European Research Council (ERC) under ERC-2009-AdG-249529 and ERC-20150AdG-694822 , and the Economic and Social Research Council (ESRC) under RES-544-28-0001 and ES/N011562/1 . Iaria gratefully acknowledges financial support from the research grant Labex Ecodec: Investissements d{\textquoteright}Avenir ( ANR-11-IDEX-0003/Labex Ecodec/ANR-11-LABX-0047 ). Publisher Copyright: {\textcopyright} 2020 The Author(s)",

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doi = "10.1016/j.jeconom.2020.07.024",

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KW - Panel data

KW - Sufficient sets

KW - Unobserved choice sets

KW - Unobserved heterogeneity

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A Survey of Preference Estimation with Unobserved Choice Set Heterogeneity

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Keywords

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