A computationally efficient fixed point approach to dynamic structural demand estimation
动态结构需求估计的高效固定点方法
This paper develops a computationally efficient approach to the estimation of dynamic structural demand with product panel data. The conventional GMM approach relies on two nested fixed point (NFP) algorithms, each developed by Rust (1987) and Berry, Levinsohn, and Pakes (1995). We transform the GMM into a quasi-Bayesian (Laplace type) estimator and develop a new MCMC method that efficiently solves the fixed point problems. Our approach requires no stronger assumptions than…