文章基本信息

标题：Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
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作者：Steve Berry ; Oliver Linton ; Ariel Pakes 等
期刊名称：Japanese Studies Programme Papers
出版年度：2000
卷号：1
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: the sampling error in estimating market shares, the simulation error in approximating the shares predicted by the model, and the underlying model error. The limiting distribution of the parameter estimator is normal provided the size of the consumer sample and the number of simulation draws grow at a large enough rate relative to the number of products. The required rates differ for two frequently used demand models, and a small Monte Carlo study shows that the difference in asymptotic properties of the two models are reflected in the models' small sample properties. The differences impact directly on the computational burden of the two models
关键词：Choice models; Method of Moments; Multinominal; Random ;Coefficients; Vertical Model