Demand Estimation with High-Dimensional Product Characteristics
Title | Demand Estimation with High-Dimensional Product Characteristics PDF eBook |
Author | Ben Gillen |
Publisher | |
Pages | 23 |
Release | 2015 |
Genre | |
ISBN |
Structural models of demand founded on the classic work of Berry, Levinsohn, and Pakes (1995) link variation in aggregate market shares for a product to the influence of product attributes on heterogeneous consumer tastes. We consider implementing these models in settings with complicated products where consumer preferences for product attributes are sparse, that is, where a small proportion of a high-dimensional product characteristics influence consumer tastes. We propose a multistep estimator to efficiently perform uniform inference. Our estimator employs a penalized pre-estimation model specification stage to consistently estimate nonlinear features of the BLP model. We then perform selection via a Triple-LASSO for explanatory controls, treatment selection controls, and instrument selection. After selecting variables, we use an unpenalized GMM estimator for inference. Monte Carlo simulations verify the performance of these estimators.
Bayesian Model Comparison
Title | Bayesian Model Comparison PDF eBook |
Author | Ivan Jeliazkov |
Publisher | Emerald Group Publishing |
Pages | 361 |
Release | 2014-11-21 |
Genre | Political Science |
ISBN | 1784411841 |
This volume of Advances in Econometrics 34 focusses on Bayesian model comparison. It reflects the recent progress in model building and evaluation that has been achieved in the Bayesian paradigm and provides new state-of-the-art techniques, methodology, and findings that should stimulate future research.
Demand Estimation with Heterogeneous Consumers and Unobserved Product Characteristics
Title | Demand Estimation with Heterogeneous Consumers and Unobserved Product Characteristics PDF eBook |
Author | C. Lanier Benkard |
Publisher | |
Pages | 0 |
Release | 2004 |
Genre | Consumers' preferences |
ISBN |
We study the identification and estimation of Gorman-Lancaster style hedonic models of demand for differentiated products for the case when one product characteristic is not observed. Our identification and estimation strategy is a two-step approach in the spirit of Rosen (1974). Relative to Rosen's approach, we generalize the first stage estimation to allow for a single dimensional unobserved product characteristic, and also allow the hedonic pricing function to have a general, non-additive structure. In the second stage, if the product space is continuous and the functional form of utility is known then there exists an inversion between the consumer's choices and her preference parameters. This inversion can be used to recover the distribution of random coefficients nonparametrically. For the more common case when the set of products is finite, we use the revealed preference conditions from the hedonic model to develop a Gibbs sampling estimator for the distribution of random coefficients. We apply our methods to estimating personal computer demand.
Handbook of Industrial Organization
Title | Handbook of Industrial Organization PDF eBook |
Author | |
Publisher | Elsevier |
Pages | 788 |
Release | 2021-12-09 |
Genre | Social Science |
ISBN | 0323915140 |
Handbook of Industrial Organization, Volume Four highlights new advances in the field, with this new volume presenting interesting chapters written by an international board of expert authors. - Presents authoritative surveys and reviews of advances in theory and econometrics - Reviews recent research on capital raising methods and institutions - Includes discussions on developing countries
DEMAND ESTIMATION WITH HETEROGENOUS CONSUMERS AND UNOBSERVED PRODUCT CHARACTERISTICS: A HEDONIC APPROACH
Title | DEMAND ESTIMATION WITH HETEROGENOUS CONSUMERS AND UNOBSERVED PRODUCT CHARACTERISTICS: A HEDONIC APPROACH PDF eBook |
Author | Patrick BAJARI |
Publisher | |
Pages | |
Release | 2001 |
Genre | |
ISBN |
Machine Learning in Asset Pricing
Title | Machine Learning in Asset Pricing PDF eBook |
Author | Stefan Nagel |
Publisher | Princeton University Press |
Pages | 156 |
Release | 2021-05-11 |
Genre | Business & Economics |
ISBN | 0691218706 |
A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Estimation of Product Attributes and Their Importances
Title | Estimation of Product Attributes and Their Importances PDF eBook |
Author | James P. Wallace |
Publisher | Springer |
Pages | 112 |
Release | 1973 |
Genre | Business & Economics |
ISBN |
At this point in time, there is no generally accepted methodology for explaining and predicting human behavior given a product choice situation. This is true despite the critical importance of such meth odology to marketing, transportation and urban planning. While the social sciences provide numerous theories to be tested and the mathe matical and statistical procedures exist in general to do so, at this point, no single unified theory has emerged. It is generally accepted that to explain product choice behav ior,products must be described in terms of attributes. Using anyone of a number of procedures, it is possible to obtain measurements on the attributes of the products under consideration. However, there is no generally accepted methodology. Given the attribute profiles of two products, in order to explain and predict preference, it is necessary to determine the relative importance of each of the product attributes. Once again, there is no generally accepted methodology. There are two basic approaches: The first, called the attitudinal approach, obtains importance measure ments directly from respondents using one of many scaling techniques; the second, termed the inferential method endeavors to infer impor tances from product preference and attribute data. Since it is gen erally felt that respondents are unwilling and/or unable to provide meaningful importance measurements, the inferential method is most widely accepted.