Publication
Title
Improving the performance of random coefficients demand models : the role of optimal instruments
Author
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.
Language
English
Source (series)
Research paper / UA, Faculty of Applied Economics ; 2012:011
Publication
Antwerp : UA, 2012
Volume/pages
28 p.
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Record
Identification
Creation 19.12.2012
Last edited 01.03.2014
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