A simple nonparametric approach to estimating the distribution of random coefficients in structural models
结构模型中随机系数分布估计的简便非参数方法
We explore least squares and likelihood nonparametric mixtures estimators of the joint distribution of random coefficients in structural models. The estimators fix a grid of heterogeneous parameters and estimate only the weights on the grid points, an approach that 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…