Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1991, Volume 59, Issue 5

Semiparametric Estimation of Monotone and Concave Utility Functions for Polychotomous Choice Models

https://www.jstor.org/stable/2938369
p. 1315-1327

Rosa L. Matzkin

This paper introduces a semiparametric estimation method for polychotomous choice models. The method does not require a parametric structure for the systematic subutility of observable exogenous variables. The distribution of the random terms is assumed to be known up to a finite-dimensional parameter vector. In contrast, previous semiparametric methods of estimating discrete choice models have concentrated on relaxing parametric assumptions on the distribution of the random terms while leaving the systematic subutility parametrically specified. The systematic subutility is assumed to possess properties, such as monotonicity and concavity, that are typically assumed in microeconomic theory. The estimator for the systematic subutility and the parameter vector of the distribution is shown to be strongly consistent. A computational technique to calculate the estimators is developed.


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