Identification and estimation of a search model with heterogeneous consumers and firms

Mateusz Myśliwski, May Rostom, Fabio Sanches, Daniel Silva and Sorawoot Srisuma

Journal of Econometrics, 2025, vol. 249, issue PB

Abstract: We propose a model of nonsequential consumer search where consumers and firms differ in search and production costs respectively. We characterize the equilibrium of the game. We first show the distribution of search cost can be identified by market shares and prices. Subsequently, we identify the production cost distribution using a similar strategy to Guerre, Perrigne and Vuong (2000) as the firms’ decision problems resemble bidders’ problems in a particular procurement auction. We prove the firm’s cost density can be estimated at the same convergence rate as the optimal rate in Guerre et al. uniformly over any fixed subset on the interior of the support. The uniform convergence rate over any expanding support is slower due to a pole in the price pdf that is a feature of the equilibrium. Our simulation study confirms the theoretical features of the model. Our identification and convergence rate results also apply to two generalizations of the baseline search model that allow for: (i) vertically differentiated products; (ii) an intermediary. We apply the latter model to study loan search using UK mortgage data.

Keywords: Auctions; Kernel smoothing; Nonparametric identification; Search costs (search for similar items in EconPapers)
JEL-codes: C14 C57 D83 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407625000107
Full text for ScienceDirect subscribers only

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:eee:econom:v:249:y:2025:i:pb:s0304407625000107

DOI: 10.1016/j.jeconom.2025.105956

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().