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

Listed author(s):
  • Jeremy T. Fox
  • Kyoo il Kim

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.

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File URL: http://www.nber.org/papers/w17283.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 17283.

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Date of creation: Aug 2011
Publication status: published as Jeremy T. Fox & Kyoo il Kim & Chenyu Yang, 2016. "A simple nonparametric approach to estimating the distribution of random coefficients in structural models," Journal of Econometrics, .
Handle: RePEc:nbr:nberwo:17283
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  2. Heiss, Florian & Winschel, Viktor, 2008. "Likelihood approximation by numerical integration on sparse grids," Journal of Econometrics, Elsevier, vol. 144(1), pages 62-80, May.
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  15. 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.
  16. Karlis, Dimitris & Xekalaki, Evdokia, 2003. "Choosing initial values for the EM algorithm for finite mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 41(3-4), pages 577-590, January.
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