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A Simple Nonparametric Estimator for the Distribution of Random Coefficients

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  • Patrick Bajari
  • Jeremy T. Fox
  • Kyoo il Kim
  • Stephen P. Ryan

Abstract

We propose a simple nonparametric mixtures estimator for recovering the joint distribution of parameter heterogeneity in economic models, such as the random coefficients logit. The estimator is based on linear regression subject to linear inequality constraints, and is robust, easy to program and computationally attractive compared to alternative estimators for random coefficient models. We prove consistency and provide the rate of convergence under deterministic and stochastic choices for the sieve approximating space. We present a Monte Carlo study and an empirical application to dynamic programming discrete choice with a serially-correlated unobserved state variable.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15210.

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Date of creation: Aug 2009
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Handle: RePEc:nbr:nberwo:15210

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Citations

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Cited by:
  1. Christopher T. Conlon & Julie Holland Mortimer, 2008. "Demand Estimation Under Incomplete Product Availability," NBER Working Papers 14315, National Bureau of Economic Research, Inc.
  2. Patrick Bajari & Jeremy Fox & Kyoo il Kim & Stephen P. Ryan, 2009. "The Random Coefficients Logit Model Is Identified," NBER Working Papers 14934, National Bureau of Economic Research, Inc.
  3. Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2012. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers CWP08/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Yu Zheng & Juan Pantano, 2012. "Using Subjective Expectations Data to Allow for Unobserved Heterogeneity in Hotz-Miller Estimation Strategies," 2012 Meeting Papers 940, Society for Economic Dynamics.
  5. Christopher T. Conlon & Julie Holland Mortimer, 2010. "Effects of Product Availability: Experimental Evidence," Boston College Working Papers in Economics 798, Boston College Department of Economics.
  6. Joao Macieira, 2010. "Oblivious Equilibrium in Dynamic Discrete Games," 2010 Meeting Papers 680, Society for Economic Dynamics.
  7. Cerquera Dussán, Daniel & Ullrich, Hannes, 2010. "Consumer welfare and unobserved heterogeneity in discrete choice models: The value of alpine road tunnels," ZEW Discussion Papers 10-095, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

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