{"title":"总需求随机系数Logit模型的半非参数估计","authors":"Zhentong Lu, Xiaoxia Shi, Jing Tao","doi":"10.2139/ssrn.3503560","DOIUrl":null,"url":null,"abstract":"In this paper, we propose a two-step semi-nonparametric estimator for the widely used random coefficient logit demand model. In the first step, exploiting the structure of logit choice probabilities, we transform the full demand system into a partial linear model and estimate the fixed (non-random) coefficients using standard linear sieve generalized method of moment (GMM). In the second step, we construct a sieve minimum distance (MD) estimator to uncover the distribution of random coefficients nonparametrically. We establish the asymptotic properties of the estimator and show the semi-nonparametric identification of the model in a large market environment. Monte Carlo simulations and empirical illustrations support the theoretical results and demonstrate the usefulness of our estimator in practice.","PeriodicalId":264857,"journal":{"name":"ERN: Semiparametric & Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Semi-Nonparametric Estimation of Random Coefficient Logit Model for Aggregate Demand\",\"authors\":\"Zhentong Lu, Xiaoxia Shi, Jing Tao\",\"doi\":\"10.2139/ssrn.3503560\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we propose a two-step semi-nonparametric estimator for the widely used random coefficient logit demand model. In the first step, exploiting the structure of logit choice probabilities, we transform the full demand system into a partial linear model and estimate the fixed (non-random) coefficients using standard linear sieve generalized method of moment (GMM). In the second step, we construct a sieve minimum distance (MD) estimator to uncover the distribution of random coefficients nonparametrically. We establish the asymptotic properties of the estimator and show the semi-nonparametric identification of the model in a large market environment. Monte Carlo simulations and empirical illustrations support the theoretical results and demonstrate the usefulness of our estimator in practice.\",\"PeriodicalId\":264857,\"journal\":{\"name\":\"ERN: Semiparametric & Nonparametric Methods (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-02-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Semiparametric & Nonparametric Methods (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3503560\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Semiparametric & Nonparametric Methods (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3503560","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Semi-Nonparametric Estimation of Random Coefficient Logit Model for Aggregate Demand
In this paper, we propose a two-step semi-nonparametric estimator for the widely used random coefficient logit demand model. In the first step, exploiting the structure of logit choice probabilities, we transform the full demand system into a partial linear model and estimate the fixed (non-random) coefficients using standard linear sieve generalized method of moment (GMM). In the second step, we construct a sieve minimum distance (MD) estimator to uncover the distribution of random coefficients nonparametrically. We establish the asymptotic properties of the estimator and show the semi-nonparametric identification of the model in a large market environment. Monte Carlo simulations and empirical illustrations support the theoretical results and demonstrate the usefulness of our estimator in practice.