Least Concavity and the Distribution-Free Estimation of Non-Parametric Concave Functions
This paper studies the estimation of fully nonparametric models in which we can not identify the values of a symmetric function that we seek to estimate. I develop a method of consistently estimating a representative of a concave and monotone nonparametric systematic function. This representative possesses the same isovalue sets as the systematic function. The method proceeds by characterizing each set of observationally equivalent concave functions by a unique "least concave" representative. The least concave representative of the equivalence class to which the systematic function belongs is estimated by maximizing a criterion function over a compact set of least concave functions. I develop a computational technique to evaluate the values, at the observed points, and the gradients, at every point and up to a constant, of this least concave estimator. The paper includes a detailed description of how the method can be used to estimate three popular microeconometric models.
|Date of creation:||Oct 1990|
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- Kannai, Yakar, 1977. "Concavifiability and constructions of concave utility functions," Journal of Mathematical Economics, Elsevier, vol. 4(1), pages 1-56, March.
- Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
- Cosslett, Stephen R, 1983. "Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model," Econometrica, Econometric Society, vol. 51(3), pages 765-782, May.
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