Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation
نویسندگان
چکیده
منابع مشابه
Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation∗
The widely-used estimator of Berry, Levinsohn and Pakes (1995) produces estimates of consumer preferences from a discrete-choice demand model with random coefficients, market-level demand shocks and endogenous prices. We derive numerical theory results characterizing the properties of the nested fixed point algorithm used to evaluate the objective function of BLP’s estimator. We discuss problem...
متن کاملImproving the Numerical Performance of Static and Dynamic Aggregate Discrete Choice Random Coefficients Demand Estimation
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متن کاملImproving the Numerical Performance of Static and Dynamic Aggregate Discrete Choice Random Coefficients Demand Estimation by Jean-pierre Dubé, Jeremy
The widely used estimator of Berry, Levinsohn, and Pakes (1995) produces estimates of consumer preferences from a discrete-choice demand model with random coefficients, market-level demand shocks, and endogenous prices. We derive numerical theory results characterizing the properties of the nested fixed point algorithm used to evaluate the objective function of BLP’s estimator. We discuss probl...
متن کاملSupplement to “improving the Numerical Performance of Static and Dynamic Aggregate Discrete Choice Random Coefficients
IN THIS SECTION, we discuss the implementation details for MPEC and NFP applied to the BLP demand estimation problem. For a gradient-based solver to perform effectively, researchers need to provide the first-order and secondorder closed-form derivatives along with their respective sparsity patterns. Without this additional information, both MPEC and NFP may fail to converge or may require consi...
متن کاملImproving the Numerical Performance of BLP Structural Demand Estimators∗
Berry, Levinsohn and Pakes (1995), or BLP, introduce a widely-used estimator that handles market-level demand shocks and price endogeneity in structural discrete choice demand models. This estimator is necessary to work with demand data from differentiated products industries. The estimator is computationally intensive and difficult to program, largely because a system of market share equations...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1338152