A simple estimator for the distribution of random coefficients
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Ryan_A simple.pdf
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Author(s)
Ryan, Stephen
Fox, Jeremy T.
Kim, Kyoo Il
Bajari, Patrick
Date Issued
November 2011
Journal
Quantitative Economics
Publisher
The Econometric Society
Citation
Fox, Jeremy T. et al. “A Simple Estimator for the Distribution of Random Coefficients.” Quantitative Economics 2.3 (2011): 381–418. © 2011 John Wiley & Sons, Inc.
Version
Final published version
Abstract
We propose a simple mixtures estimator for recovering the joint distribution of parameter heterogeneity in economic models, such as the random coefficients logit. The estimator is based on linear regression subject to linear inequality constraints, and is robust, easy to program, and computationally attractive compared to alternative estimators for random coefficient models. For complex structural models, one does not need to nest a solution to the economic model during optimization. We present a Monte Carlo study and an empirical application to dynamic programming discrete choice with a serially correlated unobserved state variable.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Creative Commons Attribution Non-Commercial
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DOI of Published Version
https://doi.org/10.3982/QE49
