We propose using cyclic monotonicity, a convex-analytic property of the random utility choice model, to derive bounds on counterfactual choice probabilities in semiparametric multinomial choice models. These bounds are useful for typical counterfactual exercises in aggregate discrete-choice...

We introduce the BLP-LASSO model, which augments the classic BLP (Berry, Levinsohn, and Pakes, 1995) random-coefficients logit model to allow for data-driven selection among a high- dimensional set of control variables. Economists often study consumers' aggregate behavior across markets choosing...

This paper derives the rate and the asymptotic distribution of the MLE of the parameter of a logit model with a nonstationary covariate when the true parameter is zero. The limit distribution of the t-statistic is also given

This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purpose, we find that the MSE and SMSE are at least sqrt(n)-consistent. Comparing this rate to the parametric MLE's convergence rate, we show...

This paper studies the estimation of a simple binary choice model in which explanatory variables include nonstationary variables and the distribution of the model is not known. We find a set of conditions under which the coefficients of the nonstationary variables are identified. We show that...