| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14991 |
| 来源ID | Working Paper 14991 |
| Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation | |
| Jean-Pierre H. Dubé; Jeremy T. Fox; Che-Lin Su | |
| 发表日期 | 2009-05-21 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | 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 problems with typical implementations, including cases that can lead to incorrect parameter estimates. As a solution, we recast estimation as a mathematical program with equilibrium constraints, which can be faster and which avoids the numerical issues associated with nested inner loops. The advantages are even more pronounced for forward-looking demand models where Bellman's equation must also be solved repeatedly. Several Monte Carlo and real-data experiments support our numerical concerns about the nested fixed point approach and the advantages of constrained optimization. |
| 主题 | Econometrics ; Microeconomics ; Mathematical Tools ; Industrial Organization |
| URL | https://www.nber.org/papers/w14991 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572667 |
| 推荐引用方式 GB/T 7714 | Jean-Pierre H. Dubé,Jeremy T. Fox,Che-Lin Su. Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14991.pdf（536KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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