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Estimating the Standard Errors of Individual-Specific Parameters in Random Parameters Models

Author

Listed:
  • William H Greene

    (Economics Department, Stern School of Business, New York University (NYU))

  • Mark N Harris

    (School of Economics and Finance, Curtin University)

  • Christopher Spencer

    (School of Business and Economics, Loughborough University)

Abstract

We consider the estimation of the standard errors of individual-specific parameters calculated ex post from a non-linear random parameters model. Our key contribution lies in introducing a simple method of appropriately calculating these standard errors, which explicitly takes into account the sampling variability of the estimation of the model's parameters. To demonstrate the applicability of the technique, we use it in a model of the voting behaviour of Bank of England MPC members. Our results have clear implications for drawing statistical inference on the estimated random parameters.

Suggested Citation

  • William H Greene & Mark N Harris & Christopher Spencer, 2013. "Estimating the Standard Errors of Individual-Specific Parameters in Random Parameters Models," Bankwest Curtin Economics Centre Working Paper series WP1309, Bankwest Curtin Economics Centre (BCEC), Curtin Business School.
    • Handle: RePEc:ozl:bcecwp:wp1309
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    References listed on IDEAS

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    Cited by:

    1. Sarrias, Mauricio, 2016. "Discrete Choice Models with Random Parameters in R: The Rchoice Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 74(i10).
    2. Sarrias, Mauricio & Daziano, Ricardo A., 2018. "Individual-specific point and interval conditional estimates of latent class logit parameters," Journal of choice modelling, Elsevier, vol. 27(C), pages 50-61.

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    More about this item

    Keywords

    Random parameters; individual?specific parameters; standard errors; voting; Monetary Policy Committee;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

    Statistics

    Access and download statistics

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