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Non-linear mixed logit

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Abstract

We develop an extension of the familiar linear mixed logit model to allow for the direct estimation of parametric non-linear functions defined over structural parameters. Classic applications include the estimation of coefficients of utility functions to characterize risk attitudes and discounting functions to characterize impatience. There are several unexpected benefits of this extension, apart from the ability to directly estimate structural parameters of theoretical interest.

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Authors and Affiliations

  1. Department of Economics, Copenhagen Business School, Copenhagen, Denmark

    Steffen Andersen

  2. Department of Risk Management & Insurance and CEAR, Robinson College of Business, Georgia State University, Atlanta, GA, USA

    Glenn W. Harrison

  3. Department of Economics, University of Sheffield, Sheffield, UK

    Arne Risa Hole

  4. Durham Business School, Durham University, Durham, UK

    Morten Lau

  5. Robinson College of Business and Department of Economics, Andrew Young School of Policy Studies, Georgia State University, Atlanta, GA, USA

    E. Elisabet Rutström

Authors
  1. Steffen Andersen
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  2. Glenn W. Harrison
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  3. Arne Risa Hole
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  4. Morten Lau
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  5. E. Elisabet Rutström
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Corresponding author

Correspondence to Glenn W. Harrison.

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Andersen, S., Harrison, G.W., Hole, A.R. et al. Non-linear mixed logit. Theory Decis 73, 77–96 (2012). https://doi.org/10.1007/s11238-011-9277-0

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