| Author/Presenter |
Martin Burda (University of Toronto) |
| Co-authors |
Matthew C. Harding (Stanford University) |
| |
Jerry Hausman (Massachusetts Institute of Technology) |
| Title |
A Bayesian Mixed Logit-Probit Model for Multinomial Choice |
| Abstract |
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. 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 (DP) prior on the coefficients with nonparametrically estimated density. We bypass a problem of prior non-conjugacy by employing a "latent class" sampling algorithm for the DP prior. 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, calculated using GPS software. Supermarket dummies form the parametric part of our model. |
| Web Link |
http://www.economics.utoronto.ca/mburda/dcm/lp.pdf |