Demand Estimation with Machine Learning and Model Combination
Patrick Bajari,
Denis Nekipelov (),
Stephen Ryan and
Miaoyu Yang
No 20955, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
We survey and apply several techniques from the statistical and computer science literature to the problem of demand estimation. We derive novel asymptotic properties for several of these models. To improve out-of-sample prediction accuracy and obtain parametric rates of convergence, we propose a method of combining the underlying models via linear regression. Our method has several appealing features: it is robust to a large number of potentially-collinear regressors; it scales easily to very large data sets; the machine learning methods combine model selection and estimation; and the method can flexibly approximate arbitrary non-linear functions, even when the set of regressors is high dimensional and we also allow for fixed effects. We illustrate our method using a standard scanner panel data set to estimate promotional lift and find that our estimates are considerably more accurate in out of sample predictions of demand than some commonly used alternatives. While demand estimation is our motivating application, these methods are likely to be useful in other microeconometric problems.
JEL-codes: C14 C53 C55 (search for similar items in EconPapers)
Date: 2015-02
New Economics Papers: this item is included in nep-ecm
Note: IO
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)
Published as Bajari, Patrick, Denis Nekipelov, Stephen P. Ryan, and Miaoyu Yang. 2015. "Machine Learning Methods for Demand Estimation." American Economic Review, 105 (5): 481-85. DOI: 10.1257/aer.p20151021
Downloads: (external link)
http://www.nber.org/papers/w20955.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:20955
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w20955
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().