Nonparametric Estimation in Random Coefficients Binary Choice Models
AbstractThis paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problem characterized by an integral transform. A new density estimator for the random coefficients is developed, utilizing Fourier-Laplace series on spheres. This approach offers a clear insight on the identification problem. More importantly, it leads to a closed form estimator formula that yields a simple plug-in procedure requiring no numerical optimization. The new estimator, therefore, is easy to implement in empirical applications, while being flexible about the treatment of unobserved heterogeneity. Extensions including treatments of non-random coefficients and models with endogeneity are discussed.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1721.
Length: 50 pages
Date of creation: Aug 2009
Date of revision:
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Eric Gautier & Yuichi Kitamura, 2013. "Nonparametric Estimation in Random Coefficients Binary Choice Models," Econometrica, Econometric Society, vol. 81(2), pages 581-607, 03.
- Eric Gautier & Yuichi Kitamura, 2008. "Nonparametric Estimation in Random Coefficients Binary Choice Models," Working Papers 2008-15, Centre de Recherche en Economie et Statistique.
- Eric Gautier & Yuichi Kitamura, 2011. "Nonparamatric estimation in random coefficients binary choice models," Working Papers hal-00403939, HAL.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-30 (All new papers)
- NEP-DCM-2009-08-30 (Discrete Choice Models)
- NEP-ECM-2009-08-30 (Econometrics)
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