On Asymptotic Properties of the Parameters of Differentiated Product Demand and Supply Systems When Demographically-Categorized Purchasing Pattern Data are Available

In this paper, we derive asymptotic theorems for the Petrin (2002) extension of the Berry, Levinsohn, and Pakes (BLP, 1995) framework to estimate demand-supply models with micro moments. The micro moments contain the information relating the consumer demographics to the characteristics of the products they purchase. With additional assumptions, the extended estimator is shown to be CAN and more efficient than the BLP estimator. We discuss the conditions under which these asymptotic theorems hold for the random coefficient logit model. We implement extensive simulation studies and confirm the benefit of the micro moments in estimating the random coefficient logit model. 1This research is supported in part by the Grant-in-Aid for Scientific Research (B) 22730246 from the Japan Society for the Promotion of Science. Please address correspondence to: Satoshi Myojo, Faculty of Economics, Kobe University, 2-1 Rokkodai-cho, Nada-ku, Kobe, Hyogo, 657-8501, Japan. E-mail:[email protected] 2This research is also supported in part by the Grant-in-Aid for Scientific Research (C)(2) 12680310, (C)(2) 16510103, and (B) 20310081 from the Japan Society for the Promotion of Science.