University of Wisconsin
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Madison, WI 53706-1393
NBER Working Papers and Publications
|November 2011||Identifying Demand with Multidimensional Unobservables: A Random Functions Approach|
with Jeremy T. Fox: w17557
We explore the identification of nonseparable models without relying on the property that the model can be inverted in the econometric unobservables. In particular, we allow for infinite dimensional unobservables. In the context of a demand system, this allows each product to have multiple unobservables. We identify the distribution of demand both unconditional and conditional on market observables, which allows us to identify several quantities of economic interest such as the (conditional and unconditional) distributions of elasticities and the distribution of price effects following a merger. Our approach is based on a significant generalization of the linear in random coefficients model that only restricts the random functions to be analytic in the endogenous variables, which is satisf...
|July 2011||Connected Substitutes and Invertibility of Demand|
with Steven T. Berry, Philip Haile: w17193
We consider the invertibility of a nonparametric nonseparable demand system. Invertibility of demand is important in several contexts, including identification of demand, estimation of demand, testing of revealed preference, and economic theory requiring uniqueness of market clearing prices. We introduce the notion of "connected substitutes" and show that this structure is sufficient for invertibility. The connected substitutes conditions require weak substitution between all goods and sufficient strict substitution to necessitate treating them in a single demand system. These conditions are satisfied in many standard models, have transparent economic interpretation, and allow us to show invertibility without functional form restrictions, smoothness assumptions, or strong domain restrictio...
Published: Steven Berry, Amit Gandhi and Philip Haile (2013), \Connected Substitutes and Invertibility of Demand," Econometrica v. 81(5) (September), pp. 2087-2111 (also Cowles Foundation Discussion Paper # 1806R.) citation courtesy of
|March 2011||Identification and Estimation in Discrete Choice Demand Models when Endogenous Variables Interact with the Error|
with Kyoo il Kim, Amil Petrin: w16894
We develop an estimator for the parameters of a utility function that has interactions between the unobserved demand error and observed factors including price. We show that the Berry (1994)/Berry, Levinsohn, and Pakes (1995) inversion and contraction can still be used to recover the mean utility term that now contains both the demand error and the interactions with the error. However, the instrumental variable (IV) solution is no longer consistent because the price interaction term is correlated with the instrumented price. We show that the standard conditional moment restrictions (CMRs) do not generally suffice for identification. We supplement the standard CMRs with new moments that we call "generalized" control function moments and we show together they are sufficient for identificatio...
|July 2009||Identifying Heterogeneity in Economic Choice Models|
with Jeremy T. Fox: w15147
We show how to nonparametrically identify the distribution that characterizes heterogeneity among agents in a general class of structural choice models. We introduce an axiom that we term separability and prove that separability of a structural model ensures identification. The main strength of separability is that it makes verifying the identification of nonadditive models a tractable task because it is a condition that is stated directly in terms of the choice behavior of agents in the model. We use separability to prove several new results. We prove the identification of the distribution of random functions and marginal effects in a nonadditive regression model. We also identify the distribution of utility functions in the multinomial choice model. Finally, we extend 2SLS to have random...