BLP estimation using Laplace transformation and overlapping simulation draws

DOI10.1016/J.JECONOM.2020.07.026MaRDI QIDQ2658771zbMATH OpenOpenAlexFDO

Authors Han Hong, Huiyu Li, Jessie Li

Publication date 24 March 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://www.frbsf.org/economic-research/files/wp2019-24.pdf

zbMATH Keywords

BLP modelLaplace-type estimatorsimulation estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)

Recommendations

• Asymptotic theory for differentiated products demand models with many markets
• Approximation properties of Laplace-type estimators
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• Consistent variance of the Laplace-type estimators: application to DSGE models
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Cites work

• A central limit theorem for two-sample U-processes
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• An MCMC approach to classical estimation.
• Asymptotic Statistics
• Asymptotic theory for differentiated products demand models with many markets
• Automobile Prices in Market Equilibrium
• Connected substitutes and invertibility of demand
• Constrained optimization approaches to estimation of structural models
• Higher-order properties of approximate estimators
• Improving the numerical performance of static and dynamic aggregate discrete choice random coefficients demand estimation
• MCMC using Hamiltonian dynamics
• Simulation and the Asymptotics of Optimization Estimators
• Weak convergence and empirical processes. With applications to statistics

Cited in

(4)

• Consistent variance of the Laplace-type estimators: application to DSGE models
• Approximation properties of Laplace-type estimators
• Estimation and inference in factor copula models with exogenous covariates
• Incorporating micro data into differentiated products demand estimation with PyBLP

Describes a project that uses

Uses Software

• GitHub

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