Andersen, Steffen Harrison, Glenn W. Hole, Arne Risa Rutström, Elisabet E.
Year of Publication:
Working paper No. 4-2010
Copenhagen Business School (CBS), Department of Economics, Frederiksberg
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.