BLP Estimation Using Laplace Transformation and Overlapping Simulation Draws

Han Hong, Huiyu Li and Jessie Li

No 2019-24, Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: We derive the asymptotic distribution of the parameters of the Berry et al. (1995, BLP) model in a many markets setting which takes into account simulation noise under the assumption of overlapping simulation draws. We show that, as long as the number of simulation draws R and the number of markets T approach infinity, our estimator is ?m = ?min(R,T) consistent and asymptotically normal. We do not impose any relationship between the rates at which R and T go to infinity, thus allowing for the case of R

JEL-codes: C10 C11 C13 C15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2019-09-04
New Economics Papers: this item is included in nep-ecm and nep-ore
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Related works:
Journal Article: BLP estimation using Laplace transformation and overlapping simulation draws (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfwp:2019-24

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DOI: 10.24148/wp2019-24

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