Abstract :
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.
