Arbeitspapier
Nonparametric estimation of the random coefficients model: An elastic net approach
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.
- ISBN
-
978-3-86304-325-4
- Sprache
-
Englisch
- Erschienen in
-
Series: DICE Discussion Paper ; No. 326
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- Thema
-
Random Coefficients
Mixed Logit
Nonparametric Estimation
Elastic Net
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Heiss, Florian
Hetzenecker, Stephan
Osterhaus, Maximilian
- Ereignis
-
Veröffentlichung
- (wer)
-
Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE)
- (wo)
-
Düsseldorf
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Heiss, Florian
- Hetzenecker, Stephan
- Osterhaus, Maximilian
- Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE)
Entstanden
- 2019
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