This paper brings together several research streams and concepts that have been
evolving in random utility choice theory: (1) it reviews the literature on stated preference
(SP) elicitation methods and introduces the concept of testing data generation process
invariance across SP and revealed preference (RP) choice data sources; (2) it describes the
evolution of discrete choice models within the random utility family, where progressively
more behavioural realism is being achieved by relaxing strong assumptions on the role of
the variance structure (speciÞcally, heteroscedasticity) of the unobserved e¤ects, a topic
central to the issue of combining multiple data sources; (3) particular choice model
formulations incorporating heteroscedastic e¤ects are presented, discussed and applied
to data. The rich insights possible from modelling heteroscedasticity in choice processes
are illustrated in the empirical application, highlighting its relevance to issues of data
combination and taste heterogeneity.