Published online by Cambridge University Press: 22 March 2010
In many stated choice experiments researchers observe the random variables Vt, Xt, and Yt = 1{U + δ⊤Xt + εt < Vt}, t ≤ T, where δ is an unknown parameter and U and εt are unobservable random variables. We show that under weak assumptions the distributions of U and εt and also the unknown parameter δ can be consistently estimated using a sieved maximum likelihood estimation procedure.
We are grateful to Bo Honoré, the referees, and the coeditor Jinyong Hahn for helpful comments. Mogens Fosgerau has received support from the Danish Social Science Research Council.