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A Simple Nonparametric Estimator for the Distribution of Random Coefficients

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

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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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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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Find related papers by JEL classification:
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models
I21 - Health, Education, and Welfare - - Education - - - Analysis of Education
I28 - Health, Education, and Welfare - - Education - - - Government Policy
L0 - Industrial Organization - - General
O1 - Economic Development, Technological Change, and Growth - - Economic Development
O15 - Economic Development, Technological Change, and Growth - - Economic Development - - - Economic Development: Human Resources; Human Development; Income Distribution; Migration

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