DECONVOLUTING PREFERENCES AND ERRORS: A MODEL FOR BINOMIAL PANEL DATA

In many stated choice experiments researchers observe the random variables Vt , Xt , and Yt = 1{U +δXt +t < Vt }, t ≤ T , where δ is an unknown parameter and U and t are unobservable random variables. We show that under weak assumptions the distributions of U and t and also the unknown parameter δ can be consistently estimated using a sieved maximum likelihood estimation procedure.