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 estimator of the aggregate random coefficient logit model. Based on an extensive Monte Carlo study, we show that the use of Chamberlains (1987) optimal instruments overcomes many problems that have recently been documented with standard, non-optimal instruments. Optimal instruments reduce small sample bias, but they prove even more powerful in increasing the estimators efficiency and stability. We consider a wide variety of data-generating processes and an empirical application to the automobile market.Wealso consider the gains of other recent methodological advances when combined with optimal instruments.
Language
English
Source (journal)
Journal of econometrics. - Amsterdam
Publication
Amsterdam : 2014
ISSN
0304-4076
Volume/pages
179:1(2014), p. 83-98
ISI
000331505100006
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 28.02.2014
Last edited 24.06.2017
To cite this reference