Improving the Numerical Performance of BLP Structural Demand Estimators∗
نویسندگان
چکیده
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 must be repeatedly numerically inverted. This paper reviews typical computational implementations of the estimator, and shows that some common implementations lead to incorrect parameter estimates. We present suggestions on how to avoid these errors. We also introduce a new computational formulation of the estimator that is much simpler to program and much quicker to compute because it avoids repeatedly numerical inverting the market share equations. Our alternative formulation avoids the problems of false parameter estimates.
منابع مشابه
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