Large Market Asymptotics for Differentiated Product Demand Estimators With Economic Models of Supply.
IO economists often estimate demand for differentiated products using data sets with a small number of large markets. This paper addresses the question of consistency and asymptotic distributions of instrumental variables estimates as the number of products increases in some commonly used models of...
| Publicado en: | Econometrica Vol. 84; no. 5; pp. 1961 - 1981 |
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| Formato: | Artículo |
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Wiley-Blackwell
Sep2016
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=118170949&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 118170949 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: Y pubinfo: dt: Sep2016 vid: 84 iid: 5 pid: 480 pub: Wiley-Blackwell artinfo: ui: 118170949 10.3982/ECTA10600 ppf: 1961 ppct: 20 formats: tig: atl: Large Market Asymptotics for Differentiated Product Demand Estimators With Economic Models of Supply. aug: au: Armstrong, Timothy B. affil: Dept. of Economics, Cowles Foundation, Yale University su: Industrial organization (Economic theory) Supply & demand Economic models Nash equilibrium Monte Carlo method sug: subj: Industrial organization (Economic theory) Supply & demand Economic models Nash equilibrium Monte Carlo method keyword: BLP instruments Demand estimation weak instruments BLP instruments Demand estimation weak instruments ab: IO economists often estimate demand for differentiated products using data sets with a small number of large markets. This paper addresses the question of consistency and asymptotic distributions of instrumental variables estimates as the number of products increases in some commonly used models of demand under conditions on economic primitives. I show that, in a Bertrand-Nash equilibrium, product characteristics lose their identifying power as price instruments in the limit in certain cases, leading to inconsistent estimates. The reason is that product characteristic instruments achieve identification through correlation with markups, and, depending on the model of demand, the supply side can constrain markups to converge to a constant quickly relative to sampling error. I find that product characteristic instruments can yield consistent estimates in many of the cases I consider, but care must be taken in modeling demand and choosing instruments. A Monte Carlo study confirms that the asymptotic results are relevant in market sizes of practical importance. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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