Analyzing the random coefficient model nonparametrically

DOI10.1017/S0266466609990119MaRDI QIDQ3577702zbMATH OpenOpenAlexFDO

Authors Stefan Hoderlein, Jussi Klemelä, Enno Mammen

Publication date 23 July 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466609990119

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Statistical methods; economic indices and measures (91B82) Consumer behavior, demand theory (91B42) Heterogeneous agent models (91B69)

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Cites work

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• On nonparametric estimation of intercept and slope distributions in random coefficient regression
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Cited in

(26)

• Semiparametric estimation of random coefficients in structural economic models
• Adaptive estimation in the linear random coefficients model when regressors have limited variation
• Sieve BLP: a semi-nonparametric model of demand for differentiated products
• Irregular identification of structural models with nonparametric unobserved heterogeneity
• Tests for qualitative features in the random coefficients model
• Varying random coefficient models
• Binary response correlated random coefficient panel data models
• Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity
• A similarity-based approach to time-varying coefficient non-stationary autoregression
• Nonparametric estimation in random coefficients binary choice models
• Quantile regression methods for first-price auctions
• Nonparametric estimation of the random coefficients model: an elastic net approach
• Confidence regions for images observed under the Radon transform
• A note on the robustness of quantile treatment effect estimands
• Estimation of heterogeneous panels with systematic slope variations
• How many consumers are rational?
• Nonparametric identification of the distribution of random coefficients in binary response static games of complete information
• A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5
• Testing and relaxing the exclusion restriction in the control function approach
• Specification testing in random coefficient models
• A simple nonparametric approach to estimating the distribution of random coefficients in structural models
• Identification of joint distributions in dependent factor models
• The triangular model with random coefficients
• Rate-optimal nonparametric estimation for random coefficient regression models
• Endogeneity in weakly separable models without monotonicity
• Identification and estimation in a linear correlated random coefficients model with censoring

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