Cancelled

Econometrics Seminar

Speaker: Laura Grigolon (University of Mannheim)

Title: A Simple Globally Consistent Continuous Demand Model for Market Level Data

Format: Hybrid

Abstract: This paper considers a new method of uncovering demand information from market level data on differentiated products. In particular, we propose a globally consistent continuous-choice demand model with distinct advantages over the models currently in use and describe the econometric techniques for its estimation. The proposed model combines key properties of both the discrete- and continuous-choice traditions: (i) it is flexible in the sense of Diewert (1973, 1974), (ii) it is globally consistent in the sense it can deal with the entry and exit of products over time, and (iii) incorporates a structural error term. The estimation procedure follows an analogue to the algorithm derived in Berry (1994), Berry et al. (1995). The contraction mapping for matching observed and predicted budget shares is analytic, making it relatively simple and fast to estimate, which can prove a key advantage in some applications such those in competition policy, where time and transparency are important. We provide also a series of Monte Carlo experiments to illustrate the estimation properties of the model. Finally, we discuss how it can be extended to account for consumer heterogeneity and to cope with consumer dynamic behaviour.

Organisers: Julien, Pietro

For more information, please contact the organisers.