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Working Paper
BLP Estimation Using Laplace Transformation and Overlapping Simulation Draws
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