I am looking for a lead on estimating a specific type of multinomial choice model.
Specifically, assume that I see $N$ people and those people have some vector of characteristic $X$. For ten periods, individuals choose between four choices: $\{A,B,C,D\}$ based on their $X$ and their taste shock which we assume is distributed iid Weibull (which makes the model a multinomial logit).
So far this could be modelled as 10 standard multinomial logistic regressions, but here is what I am trying to add to the model. In my data, I do not observe $\{A,B,C,D\}$, rather I only observe $\{A,B,E\}$, where I see $E$ if the agent chooses $C$ or the agent chooses $D$, but I do not know which.
Given I have 10 repeated samples, it seems like it may be possible to use something like an expectation-maximization (EM) framework to estimate the probability each individual chose $C$ or chose $D$ given I observe that they chose $E$ (i.e. I know they chose one of the two) and to estimate the coefficients on $X$ for choice $C$ and choice $D$.
If it is helpful for the EM algorithm, I also have another set of ten binary choices for each individual and 10 linear models for each individual which do not have the censoring/pooling problem laid out above.
Does anyone know if it may be possible to consistently estimate the coefficients and choice probabilities associated with choice $C$ and choice $D$ using the data laid out above? Even related references would be very helpful.