Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64775
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dc.contributor.authorMoon, Hyungsik Rogeren_US
dc.contributor.authorShum, Matthewen_US
dc.contributor.authorWeidner, Martinen_US
dc.date.accessioned2012-04-18en_US
dc.date.accessioned2012-10-16T13:09:15Z-
dc.date.available2012-10-16T13:09:15Z-
dc.date.issued2012en_US
dc.identifier.pidoi:10.1920/wp.cem.2012.0812en_US
dc.identifier.urihttp://hdl.handle.net/10419/64775-
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.language.isoengen_US
dc.publisher|aCentre for Microdata Methods and Practice (cemmap) |cLondonen_US
dc.relation.ispartofseries|acemmap working paper |xCWP08/12en_US
dc.subject.jelC23en_US
dc.subject.jelC25en_US
dc.subject.ddc330en_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
dc.identifier.ppn690199198en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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