Nonparametric maximum likelihood methods for binary response models with random coefficients

Jiaying Gu () and Roger Koenker ()
Additional contact information
Jiaying Gu: Institute for Fiscal Studies and University of Toronto
Roger Koenker: Institute for Fiscal Studies and UCL

No CWP65/18, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: Single index linear models for binary response with random coefficients have been extensively employed in many econometric settings under various parametric specifications of the distribution of the random coefficients. Nonparametric maximum likelihood estimation (NPMLE) as proposed by Cosslett (1983) and Ichimura and Thompson (1998), in contrast, has received less attention in applied work due primarily to computational diffi culties. We propose a new approach to computation of NPMLEs for binary response models that signi cantly increase their computational tractability thereby facilitating greater exibility in applications. Our approach, which relies on recent developments involving the geometry of hyperplane arrangements, is contrasted with the recently proposed deconvolution method of Gautier and Kitamura (2013). An application to modal choice for the journey to work in the Washington DC area illustrates the methods.

Date: 2018-11-21
New Economics Papers: this item is included in nep-dcm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.ifs.org.uk/uploads/cemmap/wps/CWP651818.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.ifs.org.uk/uploads/cemmap/wps/CWP651818.pdf [302 Found]--> https://ifs.org.uk/uploads/cemmap/wps/CWP651818.pdf)

Related works:
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:65/18

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 ().