Hyungsik Roger Moon, Matthew Shum, Martin Weidner
arXiv 1 May 2026 · Econometrics
arXiv:2605.00602 · PDF · Extracted main text
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete-choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can be arbitrarily correlated with the observed product characteristics (including price), which accommodates endogeneity and, at the same time, captures strong persistence in market shares across products and markets. We propose a two-step least squares-minimum distance (LS-MD) procedure to calculate the estimator. Our estimator is easy to compute, and Monte Carlo simulations show that it performs well. We consider an empirical illustration to US automobile demand.
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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 | Moon, H. and Weidner, M (2015) Dynamic Linear Panel Regression Models with Interactive Fixed Effects self | 1.000 | 24 | 7 | 100% |
| 2 | Moon, H. R. and Weidner, M (2015) Linear regression for panel with unknown number of factors as interactive fixed effects self | 1.000 | 17 | 7 | 100% |
| 3 | Bai, J (2009) Panel data models with interactive fixed effects | 1.000 | 12 | 7 | 100% |
| 4 | Bajari, P., Fox, J., Kim, K., and Ryan, S (2011) A simple nonparametric estimator for the distribution of random coefficients | 0.843 | 3 | 3 | 100% |
| 5 | Berry, S., Levinsohn, J., and Pakes, A (1995) Automobile prices in market equilibrium | 0.644 | 2 | 2 | 100% |
| 6 | Berry, S., Linton, O. B., and Pakes, A (2004) Limit theorems for estimating the parameters of differentiated product demand systems | 0.644 | 2 | 2 | 100% |
| 7 | Chernozhukov, V. and Hansen, C (2006) Instrumental quantile regression inference for structural and treatment effect models | 0.644 | 2 | 2 | 100% |
| 8 | Hahn, J. and Newey, W (2004) Jackknife and analytical bias reduction for nonlinear panel models | 0.644 | 2 | 2 | 100% |
| 9 | Neyman, J. and Scott, E. L (1948) Consistent estimates based on partially consistent observations | 0.644 | 2 | 2 | 100% |
| Berry et~al. | unmatched citation key Berry et~al. | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 69 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | On the unbiased asymptotic normality of quantile regression with fixed effects | 0.405 | 1 | 1 |
| 2 | Inference in Unbalanced Panel Data Models with Interactive Fixed Effects | 0.405 | 1 | 1 |
| 3 | Linear Panel Regressions with Two-Way Unobserved Heterogeneity | 0.405 | 1 | 1 |
| 4 | Estimating Demand with Recentered Instruments | 0.405 | 1 | 1 |