Non-linear mixed logit

Theory and Decision 73 (1):77-96 (2012)
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.
Keywords Risk attitudes  Random coefficients  Mixed logit  Lottery choices  Behavioral econometrics  Structural estimation
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