On the Identification of the Costs of Simultaneous Search
AbstractThis paper studies the identification of the costs of simultaneous search in portfolio problems (Chade and Smith, 2006). We show that market shares data from a single market do not provide sufficient information to identify the search cost distribution in any interval, even if utilitydistributions are known to the econometrician. We then show that by pooling data from markets wherethe alternatives that similar decision makers confront vary, the search cost distribution and theutility parameters of the logit demand model can be identified.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 10-066/1.
Date of creation: 13 Jul 2010
Date of revision: 12 May 2011
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search costs; portfolio choice; non-parametric identification; logit demand;
Other versions of this item:
- Moraga-Gonzalez, Jose L. & Sandor, Zsolt & Wildenbeest, Matthijs R., 2010. "On the identification of the costs of simultaneous search," IESE Research Papers D/867, IESE Business School.
- Jose Luis Moraga-Gonzalez & Zsolt Sandor & Matthijs R. Wildenbeest, 2010. "On the Identification of the Costs of Simultaneous Search," Working Papers 2010-10, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
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