Adaptive Estimation in the Nonparametric Random Coefficients Binary Choice Model by Needlet Thresholding
Title | Adaptive Estimation in the Nonparametric Random Coefficients Binary Choice Model by Needlet Thresholding PDF eBook |
Author | Eric Gautier |
Publisher | |
Pages | 45 |
Release | 2011 |
Genre | |
ISBN |
Nonparametric Estimation in Random Coefficients Binary Choice Models
Title | Nonparametric Estimation in Random Coefficients Binary Choice Models PDF eBook |
Author | Eric Gautier |
Publisher | |
Pages | 0 |
Release | 2008 |
Genre | |
ISBN |
Advances in Contemporary Statistics and Econometrics
Title | Advances in Contemporary Statistics and Econometrics PDF eBook |
Author | Abdelaati Daouia |
Publisher | Springer Nature |
Pages | 713 |
Release | 2021-06-14 |
Genre | Mathematics |
ISBN | 3030732495 |
This book presents a unique collection of contributions on modern topics in statistics and econometrics, written by leading experts in the respective disciplines and their intersections. It addresses nonparametric statistics and econometrics, quantiles and expectiles, and advanced methods for complex data, including spatial and compositional data, as well as tools for empirical studies in economics and the social sciences. The book was written in honor of Christine Thomas-Agnan on the occasion of her 65th birthday. Given its scope, it will appeal to researchers and PhD students in statistics and econometrics alike who are interested in the latest developments in their field.
Maximum Likelihood Estimation of a Binary Choice Model with Random Coefficients of Unknown Distribution
Title | Maximum Likelihood Estimation of a Binary Choice Model with Random Coefficients of Unknown Distribution PDF eBook |
Author | Hidehiko Ichimura |
Publisher | |
Pages | 37 |
Release | 1993 |
Genre | Estimation theory |
ISBN |
Robust and Efficient Adaptive Estimation of Binary-choice Regression Models
Title | Robust and Efficient Adaptive Estimation of Binary-choice Regression Models PDF eBook |
Author | Pavel Čižek |
Publisher | |
Pages | |
Release | 2007 |
Genre | |
ISBN |
Nonparametric Estimation of the Random Coefficients Model
Title | Nonparametric Estimation of the Random Coefficients Model PDF eBook |
Author | Florian Heiss |
Publisher | |
Pages | |
Release | 2019 |
Genre | |
ISBN | 9783867889575 |
This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its sparse nature observed in many applications. Recognizing this link, we extend the estimator, transforming it to a special case of the nonnegative elastic net. The extension improves the estimator's recovery of the true support and allows for more accurate estimates of the random coefficients' distribution. Our estimator is a generalization of the original estimator and therefore, is guaranteed to have a model fit at least as good as the original one. A theoretical analysis of both estimators' properties shows that, under conditions, our generalized estimator approximates the true distribution more accurately. Two Monte Carlo experiments and an application to a travel mode data set illustrate the improved performance of the generalized estimator.
A Simple Nonparametric Estimator for the Distribution of Random Coefficients
Title | A Simple Nonparametric Estimator for the Distribution of Random Coefficients PDF eBook |
Author | |
Publisher | |
Pages | 71 |
Release | 2009 |
Genre | Multilevel models (Statistics) |
ISBN |
We propose a simple nonparametric 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. We prove consistency and provide the rate of convergence under deterministic and stochastic choices for the sieve approximating space. We present a Monte Carlo study and an empirical application to dynamic programming discrete choice with a serially-correlated unobserved state variable.