Title： Semiparametric Identification and Estimation of Multinomial Discrete Choice Models using Error Symmetry with Arthur Lewbel and Jin Yan

Speaker：Yu Zhou, Fudan University

Time: 13:30 - 15:00 (GMT+8), 7 May, 2021

Venue: Room 432, Zengxianzi Building, Shipai Campus, Jinan University 

About the speaker:

Yu Zhou is an Assistant Professor of Economics at School of Economics, Fudan University. Her research interests are industrial organization, econometrics and applied econometrics. Before joining Fudan in 2015, Zhou received her Ph.D in Economics and M.S. in both Statistics and Economics from the University of Michigan at Ann Arbor; M.A. in Economics from CCER, Peking University, China and B.A. in Both Economics and History from Peking University.

Abstract:

We provide a new method to point identify and estimate cross-sectional multinomial choice models, using conditional error symmetry. Our model nests common random coefficient specifications (without having to specify which regressors have random coefficients), and more generally allows for arbitrary heteroskedasticity on most regressors, unknown error distribution, and does not require a large support (such as identification at infinity) assumption. We propose an estimator that minimizes the squared differences of the estimated error density at pairs of symmetric points about the origin. Our estimator is root N consistent and asymptotically normal, making statistical inference straightforward.