Theory and Decision

, Volume 73, Issue 1, pp 77-96

First online:

Non-linear mixed logit

  • Steffen AndersenAffiliated withDepartment of Economics, Copenhagen Business School
  • , Glenn W. HarrisonAffiliated withDepartment of Risk Management & Insurance and CEAR, Robinson College of Business, Georgia State University Email author 
  • , Arne Risa HoleAffiliated withDepartment of Economics, University of Sheffield
  • , Morten LauAffiliated withDurham Business School, Durham University
  • , E. Elisabet RutströmAffiliated withRobinson College of Business and Department of Economics, Andrew Young School of Policy Studies, Georgia State University

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We develop an extension of the familiar linear mixed logit model to allow for the direct estimation of parametric non-linear functions defined over structural parameters. Classic applications include the estimation of coefficients of utility functions to characterize risk attitudes and discounting functions to characterize impatience. There are several unexpected benefits of this extension, apart from the ability to directly estimate structural parameters of theoretical interest.


Risk attitudes Random coefficients Mixed logit Lottery choices Behavioral econometrics Structural estimation