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dc.contributor.authorMoon, Hyungsik Rogeren_US
dc.contributor.authorShum, Matthewen_US
dc.contributor.authorWeidner, Martinen_US
dc.description.abstractWe extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discretechoice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can be arbitrarily correlated with the observed product characteristics (including price), which accommodates endogeneity and, at the same time, captures strong persistence in market shares across products and markets. We propose a two step least squares-minimum distance (LS-MD) procedure to calculate the estimator. Our estimator is easy to compute, and Monte Carlo simulations show that it performs well. We consider an empirical application to US automobile demand.en_US
dc.publisherCentre for Microdata Methods and Practice (cemmap) Londonen_US
dc.relation.ispartofseriescemmap working paper CWP08/12en_US
dc.subject.keyworddiscrete-choice demand modelen_US
dc.subject.keywordinteractive fixed effectsen_US
dc.subject.keywordfactor analysisen_US
dc.subject.keywordpanel dataen_US
dc.subject.keywordrandom utility modelen_US
dc.titleEstimation of random coefficients logit demand models with interactive fixed effectsen_US
dc.typeWorking Paperen_US
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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