Simulation error and numerical instability in estimating random coefficient logit demand models

DOI10.1016/J.JECONOM.2025.105953MaRDI QIDQ7011714zbMATH OpenFDO

Authors Daniel Brunner, Florian Heiss, André Romahn, Constantin Weiser

Publication date 18 March 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.105953

zbMATH Keywords

numerical integrationstructural demand estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Asymptotic efficiency in estimation with conditional moment restrictions
• Automobile Prices in Market Equilibrium
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• Improving the numerical performance of static and dynamic aggregate discrete choice random coefficients demand estimation
• Improving the performance of random coefficients demand models: the role of optimal instruments
• Likelihood approximation by numerical integration on sparse grids
• Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

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