Using a Laplace approximation to estimate the random coefficients logit model by non-linear least squares

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  • 1 January 2006
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      • Published in RePEc
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. This paper is a revised version of CWP01/06.

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