Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79300
Authors: 
Harding, Matthew C.
Hausman, Jerry
Year of Publication: 
2005
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP01/06
Abstract: 
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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