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A Bayesian mixed logit-probit model for multinomial choice
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DOI：10.1016/j.jeconom.2008.09.029.png)
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Abstract
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In this paper, we introduce a new flexible mixed model for multinomial discrete choice where the key individual- and alternative-specific parameters of interest are allowed to follow an assumption-free nonparametric density specification, while other alternative-specific coefficients are assumed to be drawn from a multivariate Normal distribution, which eliminates the independence of irrelevant alternatives assumption at the individual level. A hierarchical specification of our model allows us to break down a complex data structure into a set of submodels with the desired features that are naturally assembled in the original system. We estimate the model, using a Bayesian Markov Chain Monte Carlo technique with a multivariate Dirichlet Process (I)P) prior on the coefficients with nonparametrically estimated density. We employ a latent class sampling algorithm, which is applicable to a general class of models, including non-conjugate DP base priors. The model is applied to Supermarket choices of a panel of Houston households whose shopping behavior was observed over a 24-month period in years 2004-2005. We estimate the nonparametric density of two key variables of interest: the price of a basket of goods based on scanner data, and driving distance to the supermarket based on their respective locations. Our semi-parametric approach allows us to identify a complex multi-modal preference distribution, which distinguishes between inframarginal consumers and consumers who strongly value either lower prices or shopping convenience. (C) 2008 Elsevier B.V. All rights reserved.
Keywords:
Multinomial discrete choice model
Dirichlet process prior
Non-conjugate priors
Hierarchical latent class models
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