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We adapt the expectation-maximization algorithm to incorporate unobserved heterogeneity into conditional choice probability (CCP) estimators of dynamic discrete choice problems. The unobserved heterogeneity can be time-invariant or follow a Markov chain. By developing a class of problems where the difference in future value terms depends on a few conditional choice probabilities, we extend the class of dynamic optimization problems where CCP estimators provide a computationally cheap alternative to full solution methods. Monte Carlo results confirm that our algorithms perform quite well, both in terms of computational time and in the precision of the parameter estimates.

This paper provides an overview of control function (CF) methods for solving the problem of endogenous explanatory variables (EEVs) in linear and nonlinear models. CF methods often can be justified in situations where \"plug-in\" approaches are known to produce inconsistent estimators of parameters and partial effects. Usually, CF approaches require fewer assumptions than maximum likelihood, and CF methods are computationally simpler. The recent focus on estimating average partial effects, along with theoretical results on nonparametric identification, suggests some simple, flexible parametric CF strategies. The CF approach for handling discrete EEVs in nonlinear models is more controversial but approximate solutions are available.

We present new identification results for nonparametric models of differentiated products markets, using only market level observables. We specify a nonparametric random utility discrete choice model of demand allowing rich preference heterogeneity, product/market unobservables, and endogenous prices. Our supply model posits nonparametric cost functions, allows latent cost shocks, and nests a range of standard oligopoly models. We consider identification of demand, identification of changes in aggregate consumer welfare, identification of marginal costs, identification of firms' marginal cost functions, and discrimination between alternative models of firm conduct. We explore two complementary approaches. The first demonstrates identification under the same nonparametric instrumental variables conditions required for identification of regression models. The second treats demand and supply in a system of nonparametric simultaneous equations, leading to constructive proofs exploiting exogenous variation in demand shifters and cost shifters. We also derive testable restrictions that provide the first general formalization of Bresnahan's (1982) intuition for empirically distinguishing between alternative models of oligopoly competition. From a practical perspective, our results clarify the types of instrumental variables needed with market level data, including tradeoffs between functional form and exclusion restrictions.

We provide an in-depth theoretical discussion about the differences between individual-specific latent constructs (representing attitudes, for example, but also other characteristics such as values or personality traits) and alternative-specific latent constructs (that may represent perceptions) affecting the choice-making process of individuals; we also carry out an empirical exercise to analyze their effects. This discussion is of importance, as the majority of papers considering attitudinal latent variables just take these as attributes affecting directly the utility of a certain alternative, while systematic taste variations are rarely considered and perceptions are mostly ignored. The results of our case study show that perceptions may indeed affect the decision making process and that they are able to capture a significant part of the variability that is normally explained by alternative specific constants. Furthermore, our results indicate that attitudes may be a reason for systematic taste variations, and that a proper categorization of latent variables, in accordance with underlying theory, may outperform the customary assumption of linearity.

In dynamic discrete choice analysis, controlling for unobserved heterogeneity is an important issue, and finite mixture models provide flexible ways to account for it. This paper studies nonparametric identifiability of type probabilities and type-specific component distributions in finite mixture models of dynamic discrete choices. We derive sufficient conditions for nonparametric identification for various finite mixture models of dynamic discrete choices used in applied work under different assumptions on the Markov property, stationarity, and type-invariance in the transition process. Three elements emerge as the important determinants of identification: the time-dimension of panel data, the number of values the covariates can take, and the heterogeneity of the response of different types to changes in the covariates. For example, in a simple case where the transition function is type-invariant, a time-dimension of T = 3 is sufficient for identification, provided that the number of values the covariates can take is no smaller than the number of types and that the changes in the covariates induce sufficiently heterogeneous variations in the choice probabilities across types. Identification is achieved even when state dependence is present if a model is stationary first-order Markovian and the panel has a moderate time-dimension (T ≥ 6).

We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness conditions and a possibly increasing number of support points for the discrete part of the distribution. For these settings, we derive lower bounds on the estimation rates. Next, we consider a nonparametric mixture of normals model that uses continuous latent variables for the discrete part of the observations. We show that the posterior in this model contracts at rates that are equal to the derived lower bounds up to a log factor. Thus, Bayesian mixture of normals models can be used for (up to a log factor) optimal adaptive estimation of mixed discrete-continuous distributions. The proposed model demonstrates excellent performance in simulations mimicking the first stage in the estimation of structural discrete choice models.

Background As the coronavirus disease 2019 (COVID‐19) pandemic is sweeping across the globe, there is an urgent need to develop effective vaccines as the most powerful strategy to end the pandemic. This study aimed to examine how factors related to vaccine characteristics, their social normative influence and convenience of vaccination can affect the public's preference for the uptake of the COVID‐19 vaccine in China. Methods An online discrete choice experiment (DCE) survey was administered to a sample of China's general population. Participants were asked to make a series of hypothetical choices and estimate their preference for different attributes of the vaccine. A mixed logit regression model was used to analyse the DCE data. Willingness to pay for each attribute was also calculated. Results Data of 1236 participants who provided valid responses were included in the analysis. There was strong public preference for high effectiveness of the vaccine, followed by long protective duration, very few adverse events and being manufactured overseas. Price was the least important attribute affecting the public preference in selecting the COVID‐19 vaccine. Conclusions The strong public preferences detected in this study should be considered when developing COVID‐19 vaccination programme in China. The results provide useful information for policymakers to identify the individual and social values for a good vaccination strategy. Patient or Public Contribution The design of the experimental choices was fully based on interviews and focus group discussions participated by 26 Chinese people with diverse socio‐economic backgrounds. Without their participation, the study would not be possible.

This paper develops a reduced form method of controlling for differences in information sets of subjects in public good discrete choice models, using stated preference data. The main contribution of our method comes from accounting for the effect of information provided during a survey on the mean and the variance of individual-specific scale parameters. In this way we incorporate both scale heterogeneity as well as observed and unobserved preference heterogeneity to investigate differences across and within information treatments. Our approach will also be useful to researchers who want to combine stated preference data sets while controlling for scale differences. We illustrate our approach using the data from a discrete choice experiment study of a biodiversity conservation program and find that the mean of individual-specific scale parameters and its variance in the sample is sensitive to the information set provided to the respondents.

Understanding the preferences of potential users of digital health products is beneficial for digital health policy and planning. Stated preference methods could help elicit individuals’ preferences in the absence of observational data. A discrete choice experiment (DCE) is a commonly used stated preference method—a quantitative methodology that argues that individuals make trade-offs when engaging in a decision by choosing an alternative of a product or a service that offers the greatest utility, or benefit. This methodology is widely used in health economics in situations in which revealed preferences are difficult to collect but is much less used in the field of digital health. This paper outlines the stages involved in developing a DCE. As a case study, it uses the application of a DCE to reveal preferences in targeting the uptake of smoking cessation apps. It describes the establishment of attributes, the construction of choice tasks of 2 or more alternatives, and the development of the experimental design. This tutorial offers a guide for researchers with no prior knowledge of this research technique.

We introduce an approach for semiparametric inference in dynamic binary choice models that does not impose distributional assumptions on the state variables unobserved by the econometrician. The proposed framework combines Bayesian inference with partial identification results. The method is applicable to models with finite space of observed states. We demonstrate the method on Rust's model of bus engine replacement. The estimation experiments show that the parametric assumptions about the distribution of the unobserved states can have a considerable effect on the estimates of per-period payoffs. At the same time, the effect of these assumptions on counterfactual conditional choice probabilities can be small for most of the observed states.