Abstract
When making choices, agents often must form expectations about option attributes in the choice set. The information used to form these expectations is usually unobserved by researchers. We develop a discrete choice model where agents make choices with heterogeneous information sets that are unobserved. We demonstrate that preferences can be point-identified through a finite mixture approximation of the unobserved information structure, or set-identified using knowledge from a single agent type. These approaches are compatible with both individual- and market-level data. Applications include replicating Dickstein and Morales (2018) and estimating consumer valuations for future fuel costs without assumptions on expectation formation.
Keywords
Discrete choice; unobserved information; mixture model; set identification;
JEL codes
- C5: Econometric Modeling
- C8: Data Collection and Data Estimation Methodology • Computer Programs
- D8: Information, Knowledge, and Uncertainty
Reference
Mathias Reynaert, Wenxuan Xu, and Hanlin Zhao, “Estimating Choice Models with Unobserved Expectations over Attributes”, TSE Working Paper, n. 24-1571, September 2024.
See also
Published in
TSE Working Paper, n. 24-1571, September 2024