| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26217 |
| 来源ID | Working Paper 26217 |
| State-Dependent Demand Estimation with Initial Conditions Correction | |
| Andrey Simonov; Jean-Pierre H. Dubé; Günter J. Hitsch; Peter E. Rossi | |
| 发表日期 | 2019-09-09 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We analyze the initial conditions bias in the estimation of brand choice models with structural state dependence. Using a combination of Monte Carlo simulations and empirical case studies of shopping panels, we show that popular, simple solutions that mis-specify the initial conditions are likely to lead to bias even in relatively long panel datasets. The magnitude of the bias in the state dependence parameter can be as large as a factor of 2 to 2.5. We propose a solution to the initial conditions problem that samples the initial states as auxiliary variables in an MCMC procedure. The approach assumes that the joint distribution of prices and consumer choices, and hence the distribution of initial states, is in equilibrium. This assumption is plausible for the mature consumer packaged goods products used in this and the majority of prior empirical applications. In Monte Carlo simulations, we show that the approach recovers the true parameter values even in relatively short panels. Finally, we propose a diagnostic tool that uses common, biased approaches to bound the values of the state dependence and construct a computationally light test for state dependence. |
| 主题 | Microeconomics ; Households and Firms ; Industrial Organization ; Industry Studies ; Other ; Accounting, Marketing, and Personnel |
| URL | https://www.nber.org/papers/w26217 |
| 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/583889 |
| 推荐引用方式 GB/T 7714 | Andrey Simonov,Jean-Pierre H. Dubé,Günter J. Hitsch,et al. State-Dependent Demand Estimation with Initial Conditions Correction. 2019. |
| 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 | ||
| w26217.pdf（1291KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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