Division of the Humanities and Social Sciences California Institute of Technology Pasadena, California 91125 Estimation of Random Coefficients Logit Demand Models with Interactive Fixed Effects
نویسندگان
چکیده
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discretechoice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can be arbitrarily correlated with the observed product characteristics (including price), which accommodates endogeneity and, at the same time, captures strong persistence in market shares across products and markets. We propose a two step least squares-minimum distance (LS-MD) procedure to calculate the estimator. Our estimator is easy to compute, and Monte Carlo simulations show that it performs well. We consider an empirical application to US automobile demand. JEL classification numbers: C23, C25
منابع مشابه
Nber Working Paper Series Experimenting with Measurement Error: Techniques with Applications to the Caltech Cohort Study
Measurement error is ubiquitous in experimental work. It leads to imperfect statistical controls, attenuated estimated effects of elicited behaviors, and biased correlations between characteristics. We develop simple statistical techniques for dealing with experimental measurement error. These techniques are applied to data from the Caltech Cohort Study, which conducts repeated incentivized sur...
متن کاملDivision of the Humanities and Social Sciences California Institute of Technology Pasadena, California 91125 on Incentives and Updating in Agent Based Models
متن کامل
Division of the Humanities and Social Sciences California Institute of Technology Pasadena, California 91125 on the Behavioral Foundations of the Law of Supply and Demand: Human Convergence and Robot Randomness
متن کامل
Division of the Humanities and Social Sciences California Institute of Technology Pasadena, California 91125 When Politics and Models Collide: Estimating Models of Multi-party Elections
Theory: The spatial model of elections can better be represented by using conditional logit than by multinomial logit. The spatial model, and random utility models in general, suffer from a failure to adequately consider the sub stitutability of candidates sharing similar or identical issue positions. Hypotheses: Multinomial logit is not much better than successive applications of binomial log...
متن کامل