Working Paper

BLP Estimation Using Laplace Transformation and Overlapping Simulation Draws

Abstract: We derive the asymptotic distribution of the parameters of the Berry et al. (1995, BLP) model in a many markets setting which takes into account simulation noise under the assumption of overlapping simulation draws. We show that, as long as the number of simulation draws R and the number of markets T approach infinity, our estimator is ?m = ?min(R,T) consistent and asymptotically normal. We do not impose any relationship between the rates at which R and T go to infinity, thus allowing for the case of R

JEL Classification: C10; C11; C13; C15;

https://doi.org/10.24148/wp2019-24

Bibliographic Information

Provider: Federal Reserve Bank of San Francisco

Part of Series: Working Paper Series

Publication Date: 2019-09-04

Number: 2019-24

Pages: 36 pages