Scandinavian Working Papers in Economics

Working Papers,
Copenhagen Business School, Department of Economics

No 04-2010: Non-Linear Mixed Logit

Steffen Andersen (), Glenn W. Harrison, Arne Risa Hole and Elisabet E. Rutström
Additional contact information
Steffen Andersen: Department of Economics, Copenhagen Business School, Postal: Department of Economics, Copenhagen Business School, Porcelænshaven 16A, 1.fl., DK-2000 Frederiksberg, Denmark

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

JEL-codes: C10

19 pages, April 1, 2010

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