| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16894 |
| 来源ID | Working Paper 16894 |
| Identification and Estimation in Discrete Choice Demand Models when Endogenous Variables Interact with the Error | |
| Amit Gandhi; Kyoo il Kim; Amil Petrin | |
| 发表日期 | 2011-03-17 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We develop an estimator for the parameters of a utility function that has interactions between the unobserved demand error and observed factors including price. We show that the Berry (1994)/Berry, Levinsohn, and Pakes (1995) inversion and contraction can still be used to recover the mean utility term that now contains both the demand error and the interactions with the error. However, the instrumental variable (IV) solution is no longer consistent because the price interaction term is correlated with the instrumented price. We show that the standard conditional moment restrictions (CMRs) do not generally suffice for identification. We supplement the standard CMRs with new moments that we call "generalized" control function moments and we show together they are sufficient for identification of all of the demand parameters. A major advantage of our setup is that it requires little more than the existence of the same instruments used in this standard IV setting. We run several monte carlos that show our approach works when the standard IV approaches fail because of non-separability. We also test and reject additive separability in the original Berry, Levinsohn, and Pakes (1995) automobile data, and we show that demand becomes significantly more elastic when the correction is applied |
| 主题 | Econometrics ; Estimation Methods ; Industrial Organization |
| URL | https://www.nber.org/papers/w16894 |
| 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/574569 |
| 推荐引用方式 GB/T 7714 | Amit Gandhi,Kyoo il Kim,Amil Petrin. Identification and Estimation in Discrete Choice Demand Models when Endogenous Variables Interact with the Error. 2011. |
| 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 | ||
| w16894.pdf（609KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
