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

Jeremy Fox and Kyoo il Kim ()

No 17283, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C14 L0 (search for similar items in EconPapers)
Date: 2011-08
New Economics Papers: this item is included in nep-dcm and nep-ecm
Note: IO TWP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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, .

Downloads: (external link)
http://www.nber.org/papers/w17283.pdf (application/pdf)

Related works:
Journal Article: A simple nonparametric approach to estimating the distribution of random coefficients in structural models (2016)
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:nbr:nberwo:17283

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w17283

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().