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