Econometrica: Sep, 1992, Volume 60, Issue 5

An Efficient Method of Moments Estimator for Discrete Choice Models With Choice-Based Sampling

https://doi.org/0012-9682(199209)60:5<1187:AEMOME>2.0.CO;2-Z
p. 1187-1214

Guido W. Imbens

In this paper a new estimator is proposed for discrete choice models with choice-based sampling. The estimator is efficient and can incorporate information on the marginal choice probabilities in a straightforward manner and for that case leads to a procedure that is computationally and intuitively more appealing than the estimators that have been proposed before. The idea is to start with a flexible parameterization of the distribution of the explanatory variables and then rewrite the estimator to remove dependence on these parametric assumptions.