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Easy and flexible mixture distributions

Listed author(s):
  • Fosgerau, Mogens
  • Mabit, Stefan L.

We propose a method to generate flexible mixture distributions that are useful for estimating models such as the mixed logit model using simulation. The method is easy to implement, yet it can approximate essentially any mixture distribution. We test it with good results in a simulation study and on real data.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176513001705
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 120 (2013)
Issue (Month): 2 ()
Pages: 206-210

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Handle: RePEc:eee:ecolet:v:120:y:2013:i:2:p:206-210
DOI: 10.1016/j.econlet.2013.03.050
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Fosgerau, Mogens, 2006. "Investigating the distribution of the value of travel time savings," Transportation Research Part B: Methodological, Elsevier, vol. 40(8), pages 688-707, September.
  2. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
  3. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555, March.
  4. Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer;The Psychometric Society, vol. 43(4), pages 521-532, December.
  5. Fosgerau, Mogens & Bierlaire, Michel, 2007. "A practical test for the choice of mixing distribution in discrete choice models," Transportation Research Part B: Methodological, Elsevier, vol. 41(7), pages 784-794, August.
  6. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics,in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76 Elsevier.
  7. Fosgerau, Mogens & Nielsen, Søren Feodor, 2010. "Deconvoluting Preferences And Errors: A Model For Binomial Panel Data," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1846-1854, December.
  8. Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986. "Classical estimation methods for LDV models using simulation," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441 Elsevier.
  9. Bierens, Herman J., 2008. "Semi-Nonparametric Interval-Censored Mixed Proportional Hazard Models: Identification And Consistency Results," Econometric Theory, Cambridge University Press, vol. 24(03), pages 749-794, June.
  10. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
  11. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-390, March.
  12. Headrick, Todd C., 2002. "Fast fifth-order polynomial transforms for generating univariate and multivariate nonnormal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 40(4), pages 685-711, October.
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