EconPapers    
Economics at your fingertips  
 

Semiparametric estimation of random coefficients in structural economic models

Stefan Hoderlein, Lars Nesheim and Anna Simoni

No CWP09/12, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: In structural economic models, individuals are usually characterized as solving a decision problem that is governed by a finite set of parameters. This paper discusses the nonparametric estimation of the probability density function of these parameters if they are allowed to vary continuously across the population. We establish that the problem of recovering the probability density function of random parameters falls into the class of non-linear inverse problem. This framework helps us to answer the question whether there exist densities that satisfy this relationship. It also allows us to characterize the identified set of such densities. We obtain novel conditions for point identification, and establish that point identification is generically weak. Given this insight, we provide a consistent nonparametric estimator that accounts for this fact, and derive its asymptotic distribution. Our general framework allows us to deal with unobservable nuisance variables, e.g., measurement error, but also covers the case when there are no such nuisance variables. Finally, Monte Carlo experiments for several structural models are provided which illustrate the performance of our estimation procedure.

Date: 2012-04-04
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp091212.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://cemmap.ifs.org.uk/wps/cwp091212.pdf [301 Moved Permanently]--> http://www.cemmap.ac.uk/wps/cwp091212.pdf)

Related works:
Journal Article: SEMIPARAMETRIC ESTIMATION OF RANDOM COEFFICIENTS IN STRUCTURAL ECONOMIC MODELS (2017) Downloads
Working Paper: Semiparametric Estimation of Random Coefficients in Structural Economic Models (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:09/12

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2020-09-19
Handle: RePEc:ifs:cemmap:09/12