Econometrica: Sep, 1981, Volume 49, Issue 5

Maximum Likelihood Estimator for Choice-Based Samples

https://doi.org/0012-9682(198109)49:5<1289:MLEFCS>2.0.CO;2-I
p. 1289-1316

Stephen R. Cosslett

A discrete-choice probability model can be estimated from a sample stratified on the choice variable by maximizing the "pseudo-likelihood," a quantity closely related to the log likelihood for a random sample. We investigate the asymptotic properties of the estimator, and show that it is consistent, asymptotically normally distributed, and satisfies a commonly used criterion for asymptotic efficiency.

Institutional Access

Publications

Econometrica

Journal News

June 30, 2023

Econometric Society's Journals Welcome First Data Editor

At their 2022 August EC meeting, the Executive Committee of the Econometric Society decided to bring a Data Editor onto the editorial boards of Econometrica, Quantitative Economics and Theoretical Economics. The Society is excited to announce that Joan Llull and his established team will be starting July 1, 2023 as the Society’s first Data Editor. He will bring extensive experience having been Data Editor for the Royal Economic Society and their two journals, the Economic Journal and the Econometrics Journal.

View