Title
Improving the performance of random coefficients demand models : the role of optimal instruments Improving the performance of random coefficients demand models : the role of optimal instruments
Author
Faculty/Department
Faculty of Applied Economics
Publication type
report
Publication
Antwerp :UA, [*]
Subject
Economics
Source (series)
Research paper / UA, Faculty of Applied Economics ; 2012:011
Volume/pages
28 p.,
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
We shed new light on the performance of Berry, Levinsohn and Pakes’ (1995) GMM esti- mator of the aggregate random coe¢ cient logit model. Based on an extensive Monte Carlo study, we show that the use of Chamberlain’s (1987) optimal instruments overcomes most of the problems that have recently been documented with standard, non-optimal instruments. Op- timal instruments reduce small sample bias, but prove even more powerful in increasing the estimator’s e¢ ciency and stability. Other recent methodological advances (MPEC, polynomial- based integration of the market shares) greatly improve computational speed, but they are only successful in terms of bias and e¢ ciency when combined with optimal instruments.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/2844c2/45a3e5c0.pdf
Handle