Publication: Generalized Random Utility Models with Multiple Types
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Date
2013
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Neural Information Processing Systems Foundation, Inc.
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Azari Soufiani, Hossein, Hansheng Diao, Zhenyu Lai, and David C. Parkes. 2013. Generalized Random Utility Models with Multiple Types. In proceedings of Advances in Neural Information Processing Systems 26 (NIPS 2013), Lake Tahoe, NV, Dec. 5-8, 2013.
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Abstract
We propose a model for demand estimation in multi-agent, differentiated product settings and present an estimation algorithm that uses reversible jump MCMC techniques to classify agents' types. Our model extends the popular setup in Berry, Levinsohn and Pakes (1995) to allow for the data-driven classification of agents' types using agent-level data. We focus on applications involving data on agents' ranking over alternatives, and present theoretical conditions that establish the identifiability of the model and uni-modality of the likelihood/posterior. Results on both real and simulated data provide support for the scalability of our approach.
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