Improving the Numerical Performance of BLP Structural Demand Estimators ∗
Improving the Numerical Performance of BLP Structural Demand Estimators ∗
复制标题
提高 BLP 结构需求估计器的数值性能 *
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
Che
中科院分区：
文献类型：
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作者：
Jean;Jeremy T. Fox;Che
Berry，Levinsohn和Pakes（1995），或BLP，介绍了一个广泛使用的估计，处理市场层面的需求冲击和价格endoanesthesia在结构离散选择需求模型。这个估计器对于处理来自差异化产品行业的需求数据是必要的。估计是计算密集型和难以编程，主要是因为市场份额方程系统必须反复数值反演。本文回顾了典型的计算实现的估计，并表明，一些常见的实现导致不正确的参数估计。我们提出了如何避免这些错误的建议。我们还介绍了一个新的计算公式的估计，这是更简单的程序和更快的计算，因为它避免了重复的数值反演的市场份额方程。我们的替代配方避免了错误的参数估计的问题。
Berry, Levinsohn and Pakes (1995), or BLP, introduce a widely-used estimator that handles market-level demand shocks and price endogeneity in structural discrete choice demand models. This estimator is necessary to work with demand data from differentiated products industries. The estimator is computationally intensive and difficult to program, largely because a system of market share equations must be repeatedly numerically inverted. This paper reviews typical computational implementations of the estimator, and shows that some common implementations lead to incorrect parameter estimates. We present suggestions on how to avoid these errors. We also introduce a new computational formulation of the estimator that is much simpler to program and much quicker to compute because it avoids repeatedly numerical inverting the market share equations. Our alternative formulation avoids the problems of false parameter estimates.