rcbr.fit.KW1 {RCBR}

NPMLE fitting for the Cosslett random coefficient binary response model

Description

This is the original one dimensional version of the Cosslett model, also known as the current status model:

P(y = 1 | v) = \int I (\eta > v)dF(\eta).

invoked with the formula y ~ v. By default the algorithm computes a vector of potential locations for the mass points of \hat F by finding interior points of the intervals between the ordered v, and then solving a convex optimization problem to determine these masses. Alternatively, a vector of predetermined locations can be passed via the control argument. Additional covariate effects can be accommodated by either specifying a fixed offset in the call to rcbr or by using the profile likelihood function prcbr.

Usage

rcbr.fit.KW1(X, y, control)

Arguments

X

the design matrix expected to have an intercept column of ones as the first column, the last column is presumed to contain values of the covariate that is designated to have coefficient one.

y

the binary response.

control

is a list of parameters for the fitting, see KW.control for further details.

Value

a list with components:

• x evaluation points for the fitted distribution

• y estimated mass associated with the v points

• logLik the loglikelihood value of the fit

• status mosek solution status

Author(s)

Jiaying Gu and Roger Koenker

References

Gu, J. and R. Koenker (2018) Nonparametric maximum likelihood estimation of the random coefficients binary choice model, preprint.