Working Paper Series, Department of Economics, Copenhagen Business School
Non-Linear Mixed Logit
(), Glenn W. Harrison, Arne Risa Hole and Elisabet E. Rutström
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. A classic application is the estimation
of coefficients of utility functions to characterize risk attitudes. There
are several unexpected benefits of this extension, apart from the ability
to directly estimate structural parameters of theoretical interest.
Keywords: utility functions; risk attitudes; utility theory; (follow links to similar papers)
JEL-Codes: C10; (follow links to similar papers)
19 pages, April 1, 2010
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