Econometrica: Sep 1981, Volume 49, Issue 5
Maximum Likelihood Estimator for Choice-Based Samples
Stephen R. CosslettA discrete-choice probability model can be estimated from a sample stratified on the choice variable by maximizing the "pseudo-likelihood," a quantity closely related to the log likelihood for a random sample. We investigate the asymptotic properties of the estimator, and show that it is consistent, asymptotically normally distributed, and satisfies a commonly used criterion for asymptotic efficiency.
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