Estimating coefficient distributions in random coefficient regressions

DOI10.1214/AOS/1176348898MaRDI QIDQ1208655zbMATH OpenOpenAlexFDO

Authors Rudolf Beran, Peter Hall

Publication date 16 May 1993

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176348898

zbMATH Keywords

consistent estimabilityidentifiabilityleast squaresresampling

Mathematics Subject Classification ID

Density estimation (62G07) Linear regression; mixed models (62J05)

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(37)

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• Consistent estimation of the random structural coefficient distribution from the linear simultaneous equations system
• Recovering Latent Variables by Matching
• The distribution of rolling regression estimators
• Goodness-of-fit tests in mixed models
• Testing and relaxing the exclusion restriction in the control function approach
• Integrability and identification in multinomial choice models
• Bounded support in linear random coefficient models: identification and variable selection
• Regularized maximum likelihood estimation for the random coefficients model
• Detecting random effects and error correlation in a periodic multiple regression model
• Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity

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