NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Jeremy T. Fox, Kyoo il Kim

NBER Working Paper No. 17283
Issued in August 2011
NBER Program(s):   IO   TWP

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.

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Document Object Identifier (DOI): 10.3386/w17283

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