Bayesian analysis of random coefficient logit models using aggregate data
AbstractWe present a Bayesian approach for analyzing aggregate level sales data in a market with differentiated products. We consider the aggregate share model proposed by Berry etÂ al. [Berry, Steven, Levinsohn, James, Pakes, Ariel, 1995. Automobile prices in market equilibrium. Econometrica. 63 (4), 841-890], which introduces a common demand shock into an aggregated random coefficient logit model. A full likelihood approach is possible with a specification of the distribution of the common demand shock. We introduce a reparameterization of the covariance matrix to improve the performance of the random walk Metropolis for covariance parameters. We illustrate the usefulness of our approach with both actual and simulated data. Sampling experiments show that our approach performs well relative to the GMM estimator even in the presence of a mis-specified shock distribution. We view our approach as useful for those who are willing to trade off one additional distributional assumption for increased efficiency in estimation.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 149 (2009)
Issue (Month): 2 (April)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Random coefficient logit Aggregate share models Bayesian analysis;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nevo, Aviv, 1998.
"Measuring Market Power in the Ready-To-Eat Cereal Industry,"
25164, University of Connecticut, Food Marketing Policy Center.
- Nevo, Aviv, 2001. "Measuring Market Power in the Ready-to-Eat Cereal Industry," Econometrica, Econometric Society, vol. 69(2), pages 307-42, March.
- Nevo, Aviv, 1999. "Measuring Market Power in the Ready-to-Eat Cereal Industry," Competition Policy Center, Working Paper Series qt7cm5p858, Competition Policy Center, Institute for Business and Economic Research, UC Berkeley.
- Aviv Nevo, 2003. "Measuring Market Power in the Ready-to-Eat Cereal Industry," Microeconomics 0303006, EconWPA.
- Aviv Nevo, 1998. "Measuring Market Power in the Ready-to-Eat Cereal Industry," NBER Working Papers 6387, National Bureau of Economic Research, Inc.
- Conley, Timothy G. & Hansen, Christian B. & McCulloch, Robert E. & Rossi, Peter E., 2008. "A semi-parametric Bayesian approach to the instrumental variable problem," Journal of Econometrics, Elsevier, vol. 144(1), pages 276-305, May.
- Aviv Nevo, 2000. "Mergers with Differentiated Products: The Case of the Ready-to-Eat Cereal Industry," RAND Journal of Economics, The RAND Corporation, vol. 31(3), pages 395-421, Autumn.
- Sha Yang & Yuxin Chen & Greg Allenby, 2003. "Bayesian Analysis of Simultaneous Demand and Supply," Quantitative Marketing and Economics, Springer, vol. 1(3), pages 251-275, September.
- K. Sudhir, 2001. "Competitive Pricing Behavior in the US Auto Market: A Structural Analysis," Yale School of Management Working Papers ysm228, Yale School of Management.
- Avi Goldfarb & Qiang Lu & Sridhar Moorthy, 2007.
"Measuring Brand Value in an Equilibrium Framework,"
Food Marketing Policy Center Research Reports
099, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
- repec:rje:randje:v:37:y:2006:i:4:p:964-982 is not listed on IDEAS
- K. Sudhir, 2001. "Competitive Pricing Behavior in the Auto Market: A Structural Analysis," Marketing Science, INFORMS, vol. 20(1), pages 42-60, January.
- Charles Romeo, 2007. "A Gibbs sampler for mixed logit analysis of differentiated product markets using aggregate data," Computational Economics, Society for Computational Economics, vol. 29(1), pages 33-68, February.
- Goettler, Ronald L & Shachar, Ron, 2001. "Spatial Competition in the Network Television Industry," RAND Journal of Economics, The RAND Corporation, vol. 32(4), pages 624-56, Winter.
- Steven T. Berry, 1994. "Estimating Discrete-Choice Models of Product Differentiation," RAND Journal of Economics, The RAND Corporation, vol. 25(2), pages 242-262, Summer.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Berry, Steven & Levinsohn, James & Pakes, Ariel, 1995. "Automobile Prices in Market Equilibrium," Econometrica, Econometric Society, vol. 63(4), pages 841-90, July.
- Han Hong, 2007. "A Statistical Inquiry into the Plausibility of Recursive Utility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(4), pages 523-559, Fall.
- Babatunde O. Abidoye & Joseph A. Herriges & Justin L. Tobias, 2012.
"Controlling for Observed and Unobserved Site Characteristics in RUM Models of Recreation Demand,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 94(5), pages 1070-1093.
- Abidoye, Babatunde & Herriges, Joseph A. & Tobias, Justin, 2010. "Controlling for Observed and Unobserved Site Characteristics in Rum Models of Recreation Demand," Staff General Research Papers 31559, Iowa State University, Department of Economics.
- Mathias REYNAERT & Frank VERBOVEN, 2012.
"Improving the performance of random coefficients demand models: the role of optimal instruments,"
Center for Economic Studies - Discussion papers
ces12.07, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- Reynaert, Mathias & Verboven, Frank, 2014. "Improving the performance of random coefficients demand models: The role of optimal instruments," Journal of Econometrics, Elsevier, vol. 179(1), pages 83-98.
- REYNAERT, Mathias & VERBOVEN, Frank, 2012. "Improving the performance of random coefficients demand models: The role of optimal instruments," Working Papers 2012011, University of Antwerp, Faculty of Applied Economics.
- Reynaert, Mathias & Verboven, Frank, 2012. "Improving the Performance of Random Coefficients Demand Models: the Role of Optimal Instruments," CEPR Discussion Papers 9026, C.E.P.R. Discussion Papers.
- Bart Bronnenberg & Jean Dubé & Carl Mela & Paulo Albuquerque & Tulin Erdem & Brett Gordon & Dominique Hanssens & Guenter Hitsch & Han Hong & Baohong Sun, 2008. "Measuring long-run marketing effects and their implications for long-run marketing decisions," Marketing Letters, Springer, vol. 19(3), pages 367-382, December.
- Zhou, Yiyi, 2012. "Failure to Launch in Two-Sided Markets: A Study of the U.S. Video Game Market," MPRA Paper 42002, University Library of Munich, Germany.
- Klomp, Jeroen, 2010. "Causes of banking crises revisited," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 72-87, March.
- Zenetti, German, 2010. "A Note on 'Bayesian analysis of the random coefficient model using aggregate data', an alternative approach," MPRA Paper 26449, University Library of Munich, Germany.
- Sugawara, Shinya, 2012. "A nonparametric Bayesian approach for counterfactual prediction with an application to the Japanese private nursing home market," MPRA Paper 42154, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.