Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity
提出了两类新概率分布，简化了极值分布和逻辑斯谛分布的方差成分结构构建，使复杂方差结构能递归生成且保持边际分布不变，适用于持续期、选择偏差、受限因变量和定性变量模型，计算比模拟矩估计更简便。
Two new classes of probability distributions are introduced that radically simplify the process of developing variance components structures for extremevalue and logistic distributions. When one of these new variates is added to an extreme-value (logistic) variate, the resulting distribution is also extreme value (logistic). Thus, quite complicated variance structures can be generated by recursively adding components having this new distribution, and the result will retain a marginal extreme-value (logistic) distribution. It is demonstrated that the computational simplicity of extreme-value error structures extends to the introduction of heterogeneity in duration, selection bias, limited-dependent- and qualitative-variable models. The usefulness of these new classes of distributions is illustrated with the examples of nested logit, multivariate risk, and competing risk models, where important generalizations to conventional stochastic structures are developed. The new models are shown to be computationally simpler and far more tractable than alternatives such as estimation by simulated moments. These results will be of considerable use to applied microeconomic researchers who have been hampered by computational difficulties in constructing more sophisticated estimators.