In this paper, we study optimal model averaging estimators of regression coefficients in a multinomial logit model, which is commonly used many scientific fields. A Kullback–Leibler (KL) loss-based weight choice criterion developed to determine weights. Under some regularity conditions, prove that the resulting are asymptotically optimal. When true one candidate models, averaged consistent. Sim...

Currently, there is an important debate about the relative merits of models with discrete and continuous representations of consumer heterogeneity. A recent JMR study (Andrews, Ansari, and Currim 2002, AAC hereafter) compared metric conjoint analysis models with discrete and continuous representations of heterogeneity, finding no differences between the two models with respect to parameter reco...