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固定效应多项选择模型的矩不等式AI 解读

This paper proposes a new approach to identification of the semiparametric multinomial choice model with fixed effects. The framework employed is the semiparametric version of the traditional multinomial logit with the fixed‐effects model (Chamberlain (1980)). This semiparametric multinomial choice model places no restrictions on either the joint distribution of the random utility disturbances across choices or their within group (or across time) correlations. We show that a…

Abstract We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in settings with nuisance parameters. We first introduce least-favorable critical values which deliver non-conservative tests if all moments are binding. Next, we introduce a novel conditional inference approach which ensures a strong…

We provide an asymptotic distribution theory for a class of generalized method of moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: sampling error in estimating market shares, simulation error in approximating the shares predicted by the model, and the underlying model error. It is shown that the estimators are CAN…

电信设备行业的生产率动态AI 解读

Technological change and deregulation have caused a major restructuring telecommunications equipment industry over the last two decades. Our empirical focus is on estimating the parameters of a production function for the equipment industry, and then using those estimates to analyze the evolution of plant-level productivity. The restructuring involved significant entry and exit and large changes in the sizes of incumbents. This generates a selection and a simultaneity…

市场均衡中的汽车价格AI 解读

This paper develops techniques for empirically analyzing demand and supply in differentiated product markets and then applies these techniques to the U.S. automobile industry. The authors' framework enables one to obtain estimates of demand and cost parameters for a class of oligopolistic differentiated products markets. These estimates can be obtained using only widely available product-level and aggregate consumer-level data, and they are consistent with a structural model…

一类光滑半参数估计量的极限定理AI 解读

We consider an econometric model based on a set of moment conditions which are indexed by both a finite-dimensional vector of interest, θ, and an infinite-dimensional parameter, h, which in turn depends upon both θ and another infinite-dimensional parameter, τ. The population moment conditions equal zero at θ = θ0. Estimators of θ0 are obtained by forming nonparametric estimates of h and τ, substituting them into the sample analog of the moment conditions, and choosing that…

模拟与优化估计量的渐近理论AI 解读

A general central limit theorem is proved for estimators defined by minimization of the length of a vector-valued, random criterion function. No smoothness assumptions are imposed on the criterion function in order that the results might apply to a broad class of simulation estimators. Complete analyses of two simulation estimators, one introduced by A. Pakes (1986) and the other by D. McFadden (1989), illustrate the application of the general theorems. These examples…