Identification and estimation in discrete choice demand models when endogenous variables interact with the error / Amit Gandhi, Kyoo il Kim, Amil Petrin.
| Author/creator | Gandhi, Amit |
| Other author | Kim, Kyoo. |
| Other author | Petrin, Amil. |
| Other author | National Bureau of Economic Research. |
| Format | Electronic |
| Publication Info | Cambridge, MA : National Bureau of Economic Research, |
| Supplemental Content | Full text available from NBER Working Papers |
| Series | NBER working paper series ; working paper 16894 Working paper series (National Bureau of Economic Research : Online) ; working paper no. 16894. UNAUTHORIZED |
| Summary | "We develop an estimator for the parameters of a utility function that has interactions between the unobserved demand error and observed factors including price. We show that the Berry (1994)/Berry, Levinsohn, and Pakes (1995) inversion and contraction can still be used to recover the mean utility term that now contains both the demand error and the interactions with the error. However, the instrumental variable (IV) solution is no longer consistent because the price interaction term is correlated with the instrumented price. We show that the standard conditional moment restrictions (CMRs) do not generally suffice for identification. We supplement the standard CMRs with new moments that we call "generalized" control function moments and we show together they are sufficient for identification of all of the demand parameters. A major advantage of our setup is that it requires little more than the existence of the same instruments used in this standard IV setting. We run several monte carlos that show our approach works when the standard IV approaches fail because of non-separability. We also test and reject additive separability in the original Berry, Levinsohn, and Pakes (1995) automobile data, and we show that demand becomes significantly more elastic when the correction is applied"--National Bureau of Economic Research web site. |
| General note | Title from PDF file as viewed on 6/9/2011. |
| Bibliography note | Includes bibliographical references. |
| Access restriction | Available only to authorized users. |
| Other forms | Also available in print. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2011656081 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |