Masayuki Sawada, Kohei Kawaguchi
arXiv 19 Apr 2020 · Econometrics
arXiv:2004.08791 · PDF · DOI · OpenAlex · Extracted main text
We propose an estimation procedure for discrete choice models of differentiated products with possibly high-dimensional product attributes. In our model, high-dimensional attributes can be determinants of both mean and variance of the indirect utility of a product. The key restriction in our model is that the high-dimensional attributes affect the variance of indirect utilities only through finitely many indices. In a framework of the random-coefficients logit model, we show a bound on the error rate of a $l_1$-regularized minimum distance estimator and prove the asymptotic linearity of the de-biased estimator.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Belloni, A., V. Chernozhukov, D. Chetverikov, C. Hansen, and K. Kato (2018) High-Dimensional Econometrics and Regularized GMM | 1.000 | 13 | 5 | 100% |
| 2 | Ledoux, M. and M. Talagrand (1991) Probability in Banach Spaces: Isoperimetry and Processes | 1.000 | 7 | 5 | 100% |
| 3 | Berry, S., O. B. Linton, and A. Pakes (2004) Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems | 0.511 | 2 | 1 | 100% |
| 4 | Armstrong, T. B (2016) Large Market Asymptotics for Differentiated Product Demand Estimators with Economic Models of Supply | 0.405 | 1 | 1 | 100% |
| 5 | Berry, S., J. Levinsohn, and A. Pakes (1995) Automobile Prices in Market Equilibrium | 0.405 | 1 | 1 | 100% |
| 6 | Berry, S. T (1994) Estimating Discrete-Choice Models of Product Differentiation | 0.405 | 1 | 1 | 100% |
| 7 | Foster, D. J. and A. Rakhlin (2019) $l_infty$ Vector Contraction for Rademacher Complexity | 0.405 | 1 | 1 | 100% |
| 8 | Frank, I. and J. Friedman (1993) A Statistical View of Some Chemometrics Regression Tools | 0.405 | 1 | 1 | 100% |
| 9 | Gillen, B. J., S. Montero, H. R. Moon, and M. Shum (2019) BLP-2LASSO for Aggregate Discrete Choice Models with Rich Covariates | 0.405 | 1 | 1 | 100% |
| 10 | Tibshirani, R (1996) Regression Shrinkage and Selection via the Lasso | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 11 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Estimation of BLP models with high-dimensional controls | 0.511 | 2 | 1 |