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BLP 模型中的条件矩估计与推断AI 解读

The random-coefficient demand model of Berry, Levinsohn, and Pakes (1995) is commonly estimated by the generalized method of moments (GMM), using an unconditional moment restriction with a fixed set of instruments. Identification of the model, however, rests on a conditional moment restriction. The two are not equivalent: the unconditional restriction may admit additional parameter values. We construct a counterexample in which the model is identified by the conditional…

含高维控制变量的 BLP 模型估计AI 解读

This study proposes a framework for estimating demand in differentiated product markets with high dimensional product characteristics, building upon the seminal Berry, Levinsohn, and Pakes (1995) model, using market level data. We allow for a very large set of potential product characteristics, where the number of characteristics may exceed the number of market observations. Our contributions are twofold. First, we establish a general estimation theory for BLP models…