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A Simple Nonparametric Approach to Estimating the Distribution of Random Coefficients in Structural Models

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  • Jeremy T. Fox
  • Kyoo il Kim

Abstract

We explore a nonparametric mixtures estimator for recovering the joint distribution of random coefficients in economic models. The estimator is based on linear regression subject to linear inequality constraints and is computationally attractive compared to alternative, nonparametric estimators. We provide conditions under which the estimated distribution function converges to the true distribution in the weak topology on the space of distributions. We verify the consistency conditions for discrete choice, continuous outcome and selection models.

Suggested Citation

  • Jeremy T. Fox & Kyoo il Kim, 2011. "A Simple Nonparametric Approach to Estimating the Distribution of Random Coefficients in Structural Models," NBER Working Papers 17283, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:17283
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    References listed on IDEAS

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    3. Fox, Jeremy T. & Kim, Kyoo il & Ryan, Stephen P. & Bajari, Patrick, 2012. "The random coefficients logit model is identified," Journal of Econometrics, Elsevier, vol. 166(2), pages 204-212.
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    Cited by:

    1. Fox, Jeremy T. & Kim, Kyoo il & Ryan, Stephen P. & Bajari, Patrick, 2012. "The random coefficients logit model is identified," Journal of Econometrics, Elsevier, vol. 166(2), pages 204-212.
    2. Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2012. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers CWP08/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Pradeep K. Chintagunta & Harikesh S. Nair, 2011. "Structural Workshop Paper --Discrete-Choice Models of Consumer Demand in Marketing," Marketing Science, INFORMS, vol. 30(6), pages 977-996, November.

    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • L0 - Industrial Organization - - General

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