| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13236 |
| DP13236 Fast, “Robust”, and Approximately Correct: Estimating Mixed Demand Systems | |
| Bernard Salanie; Frank Wolak | |
| 发表日期 | 2018-10-10 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Many econometric models used in applied work integrate over unobserved heterogeneity. We show that a class of these models that includes many random coefficients demand systems can be approximated by a “small-σ” expansion that yields a straightforward 2SLS estimator. We study in detail the models of market shares popular in empirical IO (“macro BLP”). Our estimator is only approximately correct, but it performs very well in practice. It is extremely fast and easy to implement, and it accommodates to misspecifications in the higher moments of the distribution of the random coefficients. At the very least, it provides excellent starting values for more commonly used estimators of these models. |
| 主题 | Industrial Organization |
| 关键词 | Industrial organization Discrete choice Demand systems |
| URL | https://cepr.org/publications/dp13236 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542044 |
| 推荐引用方式 GB/T 7714 | Bernard Salanie,Frank Wolak. DP13236 Fast, “Robust”, and Approximately Correct: Estimating Mixed Demand Systems. 2018. |
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