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Deconvoluting preferences and errors: a model for binomial panel data

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Author Info
Fosgerau, Mogens
Nielsen, Søren Feodor

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Abstract

Let U be an unobserved random variable with compact support and let e_t be unobserved i.i.d. random errors also with compact support. Observe the random variables V_t, X_t, and Y_t = 1{U +d X_t+e_t < V_t}, t <= T, where d is an unknown parameter. This type of model is relevant for many stated choice experiments. It is shown that under weak assumptions on the support of U +e_t, the distributions of U and e_t as well as the unknown parameter d can be consistently estimated using a sieved maximum likelihood estimation procedure. The model is applied to simulated data and to actual data designed for assessing the willingness-to-pay for travel time savings.

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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3950.

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Date of creation: 09 Jul 2007
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Handle: RePEc:pra:mprapa:3950

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Related research
Keywords: semi-nonparametric; nonparametric; method of sieves; binomial panel; willingness-to-pay; value of time;

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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
R41 - Urban, Rural, and Regional Economics - - Transportation Systems - - - Transportation: Demand, Supply, and Congestion
D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
Q51 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Valuation of Environmental Effects
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Mogens Fosgerau, 2004. "Investigating the distribution of the value of travel time savings," Urban/Regional 0411006, EconWPA. [Downloadable!]
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  2. Gabler, Siegfried & Laisney, Francois & Lechner, Michael, 1993. "Seminonparametric Estimation of Binary-Choice Models with an Application to Labor-Force Participation," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 61-80, January.
  3. Fosgerau, Mogens & Hjort, Katrine & Vincent Lyk-Jensen, Stéphanie, 2007. "An approach to the estimation of the distribution of marginal valuations from discrete choice data," MPRA Paper 3907, University Library of Munich, Germany. [Downloadable!]
  4. Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2, March. [Downloadable!]
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