Florian Heiss, Stephan Hetzenecker, Maximilian Osterhaus
arXiv 18 Sep 2019 · Econometrics · publishedJournal of Econometrics (2021) · 3 citations (OpenAlex)
arXiv:1909.08434 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | fox2016 APACrefauthors Fox, J T. , Kim, K. \ Yang, C. APACrefauthors \ (2016) 2016 | 1.000 | 7 | 4 | 100% |
| 2 | wu2014elastic APACrefauthors Wu, L. \ Yang, Y. APACrefauthors \ (2014) 2014 | 1.000 | 5 | 3 | 100% |
| 3 | wu2014lasso APACrefauthors Wu, L. , Yang, Y. \ Liu, H. APACrefauthor… (2014) 2014 | 1.000 | 5 | 3 | 100% |
| 4 | fox2011 APACrefauthors Fox, J T. , Kim, K. , Ryan, S. \ Bajari, P. A… (2011) 2011 | 0.941 | 6 | 5 | 83% |
| 5 | train2008 APACrefauthors Train, K. APACrefauthors \ (2008) 2008 | 0.874 | 6 | 3 | 67% |
| 6 | jia2010 APACrefauthors Jia, J. \ Yu, B. APACrefauthors \ (2010) 2010 | 0.737 | 4 | 2 | 75% |
| 7 | houde2019 APACrefauthors Houde, S. \ Myers, E. APACrefauthors \ (2019) 2019April | 0.737 | 3 | 2 | 100% |
| 8 | hastie09 APACrefauthors Hastie, T. , Tibshirani, R. \ Friedman, J. A… (2009) 2009 | 0.644 | 2 | 2 | 100% |
| 9 | hastie2005 APACrefauthors Zou, H. \ Hastie, T. APACrefauthors \ (2005) 2005 | 0.644 | 2 | 2 | 100% |
| 10 | nevo2016 APACrefauthors Nevo, A. , Turner, J L. \ Williams, J W. APA… (2016) 2016 | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 36 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A sliced Wasserstein and diffusion approach to random coefficient models | 0.405 | 1 | 1 |