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publications
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| 2006 working papers |
Using a Laplace approximation to estimate the random coefficients logit model by non-linear least squares
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| Authors: |
Matthew C. Harding and Jerry Hausman |
| Publication type: |
cemmap Working Papers, CWP01/06 |
| ISSN: |
1753-9196 |
| Publication date: |
January 2006 |
| Pages: |
20 pp. |
| doi: |
10.1920/wp.cem.2006.0106 |
Current methods of estimating the random coefficients logit model employ simulations of the distribution of the taste parameters through pseudo-random sequences. These methods suffer from difficulties in estimating correlations
between parameters and computational limitations such as the curse of dimensionality. This paper provides a solution to these problems by approximating the integral expression of the expected choice probability using a multivariate
extension of the Laplace approximation. Simulation results reveal that our method performs very well, both in terms of accuracy and computational time.
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