IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Estimating random coefficients logit demand models using aggregate data

Listed author(s):
  • David Vincent

    (Deloitte LLP, London)

Registered author(s):

    Discrete choice demand models are popular in applied analysis and can be estimated using market-level data on product shares and characteristics. The random parameters logit model is an extension to the traditional specification and can accommodate heterogeneity in consumer preferences and rich patterns of substitution over a large number of products. The purpose of this presentation is to set out a Stata program that estimates the parameters of this model by using the algorithm proposed by Berry, Levinsohn, and Pakes (Econometrica, 1995) and that can also address the potential issues of price endogeneity. The estimator is coded in Mata and involves an inner-loop contraction mapping to invert the market shares, followed by an outer loop search over the parameters that minimizes a GMM objective function. The estimator allows the user to specify the variables that have random parameters and contains an additional option to generate a matrix of own and cross-price elasticities of demand. The blp routine is available from the SSC Archive.

    If 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.

    File URL:
    Download Restriction: no

    Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2012 with number 19.

    in new window

    Date of creation: 22 Sep 2012
    Handle: RePEc:boc:usug12:19
    Contact details of provider: Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:boc:usug12:19. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.