A Simple Nonparametric Approach to Estimating the Distribution of Random Coefficients in Structural Models / Jeremy T. Fox, Kyoo il Kim.

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Fox, Jeremy T

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TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w17283.Publication details: Cambridge, Mass. National Bureau of Economic Research 2011.Description: 1 online resource: illustrations (black and white)Subject(s):

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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.

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August 2011.

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.