Fast, "Robust", and Approximately Correct: Estimating Mixed Demand Systems / Bernard Salanié, Frank A. Wolak.

Format:

Book

Author/Creator:

Salanié, Bernard.

Contributor:

National Bureau of Economic Research.

Wolak, Frank A.

Series:

Working Paper Series (National Bureau of Economic Research) no. w25726.

NBER working paper series no. w25726

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Fast, Robust, and Approximately Correct

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2019.

Summary:

Many econometric models used in applied work integrate over unobserved heterogeneity. We show that a class of these models that includes many random coefficients demand systems can be approximated by a "small-σ" expansion that yields a linear two-stage least squares estimator. We study in detail the models of product market shares and prices popular in empirical IO. Our estimator is only approximately correct, but it performs very well in practice. It is extremely fast and easy to implement, and it is "robust" to changes in the higher moments of the distribution of the random coefficients. At the very least, it provides excellent starting values for more commonly used estimators of these models.

Notes:

Print version record

April 2019.