Estimating Choice Models with Unobserved Expectations over Attributes

Résumé

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.

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Référence

Mathias Reynaert, Wenxuan Xu et Hanlin Zhao, « Estimating Choice Models with Unobserved Expectations over Attributes », TSE Working Paper, n° 24-1571, septembre 2024.