Nonparametric estimation in random coefficients binary choice models
This paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problem characterized by an integral transform. A new density estimator for the random coefficients is developed, utilizing Fourier-Laplace series on spheres. This approach offers a clear insight on the identification problem. More importantly, it leads to a closed form estimator formula that yields a simple plug-in procedure requiring no numerical optimization. The new estimator, therefore, is easy to implement in empirical applications, while being flexible about the treatment of unobserved heterogeneity. Extensions including treatments of non-random coefficients and models with endogeneity are discussed.
|Date of creation:||01 Sep 2011|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00403939v2|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
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.:
- Susan Athey & Guido W. Imbens, 2007.
"Discrete Choice Models With Multiple Unobserved Choice Characteristics,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1159-1192, November.
- Susan Athey & Guido Imbens, 2006. "Discrete Choice Models with Multiple Unobserved Choice Characteristics," Levine's Bibliography 122247000000001040, UCLA Department of Economics.
- Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
- Klemelä, Jussi, 2000. "Estimation of Densities and Derivatives of Densities with Directional Data," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 18-40, April.
- Steven T. Berry & Philip A. Haile, 2009. "Nonparametric Identification of Multinomial Choice Demand Models with Heterogeneous Consumers," Cowles Foundation Discussion Papers 1718, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.
- Steven T. Berry & Philip A. Haile, 2009. "Nonparametric Identification of Multinomial Choice Demand Models with Heterogeneous Consumers," NBER Working Papers 15276, National Bureau of Economic Research, Inc.
- Brownstone, David & Train, Kenneth, 1998. "Forecasting new product penetration with flexible substitution patterns," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 109-129, November.
- Brownstone, David & Train, Kenneth, 1999. "Forecasting new product penetration with flexible substitution patterns," University of California Transportation Center, Working Papers qt3tb6j874, University of California Transportation Center.
- Brownstone, David & Train, Kenneth, 1999. "Forecasting new product penetration with flexible substitution patterns," University of California Transportation Center, Working Papers qt1j6814b3, University of California Transportation Center.
- Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics,in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77 Elsevier.
- Ichimura, Hidehiko & Thompson, T. Scott, 1998. "Maximum likelihood estimation of a binary choice model with random coefficients of unknown distribution," Journal of Econometrics, Elsevier, vol. 86(2), pages 269-295, June.
- Ichimura, H. & Thompson, S., 1993. "Maximum Likelihood Estimation of a Binary Choice Model with Random Coefficients of Unknown Distributions," Papers 268, Minnesota - Center for Economic Research.
- Patrick Bajari & Jeremy T. Fox & Stephen P. Ryan, 2007. "Linear Regression Estimation of Discrete Choice Models with Nonparametric Distributions of Random Coefficients," American Economic Review, American Economic Association, vol. 97(2), pages 459-463, May.
- Andrew Chesher & J. M. C. Santos Silva, 2002. "Taste Variation in Discrete Choice Models," Review of Economic Studies, Oxford University Press, vol. 69(1), pages 147-168.
- Stephane Hess & Denis Bolduc & John Polak, 2010. "Random covariance heterogeneity in discrete choice models," Transportation, Springer, vol. 37(3), pages 391-411, May.
- Stephane Hess & Denis Bolduc & John Polak, 2005. "Random Covariance Heterogeneity in Discrete Choice Models," ERSA conference papers ersa05p375, European Regional Science Association.
- P. Groeneboom & G. Jongbloed, 2003. "Density estimation in the uniform deconvolution model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(1), pages 136-157.
- Briesch, Richard A. & Chintagunta, Pradeep K. & Matzkin, Rosa L., 2010. "Nonparametric Discrete Choice Models With Unobserved Heterogeneity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 291-307.
- Chris Elbers & Geert Ridder, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Oxford University Press, vol. 49(3), pages 403-409. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00403939. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.