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Optimal Estimation of Discrete Choice Demand Models with Consumer and Product Data

Grieco, Paul L. E.; Murry, Charles; Pinkse, Joris; … - National Bureau of Economic Research - 2025

We propose a conformant likelihood estimator with exogeneity restrictions (CLEER) for random coefficients discrete choice demand models that is applicable in a broad range of data settings. It combines the likelihoods of two mixed logit estimators--one for consumer level data, and one for...

Persistent link: https://www.econbiz.de/10015195043

Incorporating Micro Data into Differentiated Products Demand Estimation with PyBLP

Conlon, Christopher; Gortmaker, Jeff - National Bureau of Economic Research - 2023

We provide a general framework for incorporating many types of micro data from summary statistics to full surveys of selected consumers into Berry, Levinsohn, and Pakes (1995)-style estimates of differentiated products demand systems. We extend best practices for BLP estimation in Conlon and...

Persistent link: https://www.econbiz.de/10014337838

Adapting to Misspecification

Armstrong, Timothy B.; Kline, Patrick; Sun, Liyang - National Bureau of Economic Research - 2024

Empirical research typically involves a robustness-efficiency tradeoff. A researcher seeking to estimate a scalar parameter can invoke strong assumptions to motivate a restricted estimator that is precise but may be heavily biased, or they can relax some of these assumptions to motivate a more...

Persistent link: https://www.econbiz.de/10015072848

Correcting Endogeneity via Instrument-Free Two-Stage Nonparametric Copula Control Functions

Hu, Xixi; Qian, Yi; Xie, Hui - National Bureau of Economic Research - 2025

requiring instruments. In this article, we formulate the regressor endogeneity problem using a novel conditional copula … assumption of Gaussian copula regressor-error dependence structure and eliminates unnecessary modeling of regressors. Under the … model, we develop an instrument-free two-stage nonparametric copula endogeneity control function approach (2sCOPE-np), which …

Persistent link: https://www.econbiz.de/10015361483

Addressing Endogeneity Using a Two-stage Copula Generated Regressor Approach

Yang, Fan; Qian, Yi; Xie, Hui - National Bureau of Economic Research - 2022

-free methods using copulas to address the endogeneity problem. The existing copula correction method focuses only on the endogenous … distributed endogenous regressors cause model non-identification or finite-sample poor performance. Our proposed two-stage copula …

Persistent link: https://www.econbiz.de/10012814483

Bootstrap Diagnostics for Irregular Estimators

Andrews, Isaiah; Shapiro, Jesse M. - National Bureau of Economic Research - 2024

Empirical researchers frequently rely on normal approximations in order to summarize and communicate uncertainty about their findings to their scientific audience. When such approximations are unreliable, they can lead the audience to make misguided decisions. We propose to measure the failure...

Persistent link: https://www.econbiz.de/10014468238

Parameter Recovery Using Remotely Sensed Variables

Proctor, Jonathan; Carleton, Tamma A.; Sum, Sandy - National Bureau of Economic Research - 2023

Remotely sensed measurements and other machine learning predictions are increasingly used in place of direct observations in empirical analyses. Errors in such measures may bias parameter estimation, but it remains unclear how large such biases are or how to correct for them. We leverage a new...

Persistent link: https://www.econbiz.de/10013537755

Beyond Bonferroni : Hierarchical Multiple Testing in Empirical Research

Calónico, Sebastian; Galiani, Sebastián - National Bureau of Economic Research - 2025

Empirical research in the social and medical sciences frequently involves testing multiple hypotheses simultaneously, increasing the risk of false positives due to chance. Classical multiple testing procedures, such as the Bonferroni correction, control the family-wise error rate (FWER) but tend...

Persistent link: https://www.econbiz.de/10015438275

Optimal Estimation of Two-Way Effects under Limited Mobility

Cheng, Xu; Ho, Sheng Chao; Schorfheide, Frank - National Bureau of Economic Research - 2025

We propose an empirical Bayes estimator for two-way effects in linked data sets based on a novel prior that leverages patterns of assortative matching observed in the data. To capture limited mobility we model the bipartite graph associated with the matched data in an asymptotic framework where...

Persistent link: https://www.econbiz.de/10015438239

Partial Identification of Personalized Treatment Response with Trial-reported Analyses of Binary Subgroups

Li, Sheyu; Litvin, Valentyn; Manski, Charles F. - National Bureau of Economic Research - 2022

Medical journals have adhered to a reporting practice that seriously limits the usefulness of published trial findings. Medical decision makers commonly observe many patient covariates and seek to use this information to personalize treatment choices. Yet standard summaries of trial findings...

Persistent link: https://www.econbiz.de/10013388817