A Note on 'Bayesian analysis of the random coefficient model using aggregate data', an alternative approach
In this note on the paper from (Jiang, Manchanda & Rossi 2009) I want to discuss a simple alternative estimation method of the multinomial logit model for aggregated data, the so called BLP model, named after (Berry, Levinsohn & Pakes 1995). The estimation is conducted through a bayesian estimation similar to (Jiang et al. 2009). But in difference to them here the time intensive contraction mapping for assessing the mean utility in every iteration step of the estimation procedure is not needed. This is because the likelihood function is computed via a special case of the control function method ((Petrin & Train 2002) and (Park & Gupta 2009)) and hence a full random walk MCMC algorithm is applied. In difference to (Park & Gupta 2009) the uncorrelated error, which is explicitly introduced through the control function procedure, is not integrated out, but sampled with a random walk MCMC. The introduced proceeding enables to use the whole information from the data set in the estimation and beyond that accelerates the computation.
|Date of creation:||05 Nov 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Jiang, Renna & Manchanda, Puneet & Rossi, Peter E., 2009. "Bayesian analysis of random coefficient logit models using aggregate data," Journal of Econometrics, Elsevier, vol. 149(2), pages 136-148, April.
- Train, Kenneth, 2000.
"Halton Sequences for Mixed Logit,"
Department of Economics, Working Paper Series
qt6zs694tp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- James J. Heckman, 1977.
"Dummy Endogenous Variables in a Simultaneous Equation System,"
NBER Working Papers
0177, National Bureau of Economic Research, Inc.
- Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, vol. 46(4), pages 931-59, July.
- Gautam Gowrisankaran & Marc Rysman, 2009.
"Dynamics of Consumer Demand for New Durable Goods,"
NBER Working Papers
14737, National Bureau of Economic Research, Inc.
- Gautam Gowrisankaran & Marc Rysman, 2007. "Dynamics of Consumer Demand for New Durable Goods," Boston University - Department of Economics - Working Papers Series WP2007-024, Boston University - Department of Economics.
- Marc Rysman & Gautam Gowrisankaran, 2011. "Dynamics of Consumer Demand for New Durable Goods," Boston University - Department of Economics - Working Papers Series WP2011-062, Boston University - Department of Economics.
- Michelle Sovinsky Goeree, 2008. "Limited Information and Advertising in the U.S. Personal Computer Industry," Econometrica, Econometric Society, vol. 76(5), pages 1017-1074, 09.
- Berry, Steven & Levinsohn, James & Pakes, Ariel, 1995. "Automobile Prices in Market Equilibrium," Econometrica, Econometric Society, vol. 63(4), pages 841-90, July.
- 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.
- Heiss, Florian & Winschel, Viktor, 2006. "Estimation with Numerical Integration on Sparse Grids," Discussion Papers in Economics 916, University of Munich, Department of Economics.
- Joan L. Walker & Moshe Ben-Akiva & Denis Bolduc, 2007. "Identification of parameters in normal error component logit-mixture (NECLM) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1095-1125.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:26449. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.