Nonparametric Estimation of Demand Elasticities Using Panel Data

Stefan Hoderlein and Matthew Shum ()

No 891, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: In this paper, we propose and implement an estimator for price elasticities in demand models that makes use of Panel data. Our underlying demand model is nonparametric, and accommodates general distributions of product-specific unobservables which can lead to endogeneity of price. Our approach allows these unobservables to vary over time while, at the same time, not requiring the availability of instruments which are orthogonal to these unobservables. Monte Carlo simulations demonstrate that our estimator works remarkably well, even with modest sample sizes. We provide an illustrative application to estimating the cross-price elasticity matrix for carbonated soft drinks.

Keywords: demand elasticities; nonparametric estimation (search for similar items in EconPapers)
Date: 2014-04-07, Revised 2016-02-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/EC-P/wp891.pdf main text (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:boc:bocoec:891

Access Statistics for this paper

More papers in Boston College Working Papers in Economics from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().