Semiparametric Estimation of Monotonic and Concave Utility Functions: The Discrete Choice Case


Rosa L. Matzkin

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Discussion Paper

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This paper develops a semiparametric method for estimating the nonrandom part V ( ) of a random utility function U ( v ,ω) – V ( v ) + e (ω) from data on discrete choice behavior. Here v and ω are, respectively, vectors of observable and unobservable attributes of an alternative, and e(ω) is the random part of the utility for that alternative. The method is semiparametric because it assumes that the distribution of the random parts is know up to a finite-dimensional parameter θ, while not requiring specification of a parametric form for V ( ). The nonstochastic part V ( ) of the utility function U ( ) is assumed to be Lipschitzian and to possess a set of properties, typically assumed for utility functions. The estimator of the pair ( V ,θ) is shown to be strongly consistent.

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