Richard Grigorian
arXiv 23 Jul 2026 · Econometrics
arXiv:2607.21323 · PDF · Extracted main text
This paper develops a profiled sieve minimum-distance estimator for a semi-nonparametric differentiated-products demand model with micro-level choice data. Building on Berry and Haile (2024), the estimator uses within-market variation in consumer covariates to recover a flexible consumer-heterogeneity function and market-specific composite intercepts. Excluded price instruments then separate these intercepts into a flexible price-side function and structural demand shocks. The main statistical challenge is that the number of profiled market intercepts grows with the number of markets. I show that, when both the number of markets and the minimum within-market sample size grow, this profiling step is asymptotically negligible and the common structural functions are uniformly consistently estimated. Monte Carlo evidence supports the consistency result and illustrates the value of flexible price-side estimation for counterfactual demand analysis.
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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 | Berry, Steven T. and Haile, Philip A (2024) Nonparametric Identification of Differentiated Products Demand Using Micro Data | 0.961 | 9 | 5 | 89% |
| 2 | Ai, Chunrong and Chen, Xiaohong (2003) Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions | 0.874 | 9 | 4 | 67% |
| 3 | Chen, Xiaohong and Pouzo, Demian (2015) Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models | 0.843 | 4 | 4 | 75% |
| 4 | Hahn, Jinyong and Meinecke, Juergen (2005) Time-Invariant Regressor in Nonlinear Panel Model with Fixed Effects | 0.811 | 4 | 2 | 100% |
| 5 | Donald, Stephen G. and Imbens, Guido W. and Newey, Whitney K (2003) Empirical likelihood estimation and consistent tests with conditional moment restrictions | 0.737 | 3 | 3 | 67% |
| 6 | Newey, Whitney K. and Powell, James L (2003) Instrumental Variable Estimation of Nonparametric Models | 0.644 | 3 | 2 | 67% |
| 7 | Berry, Steven T. and Levinsohn, James and Pakes, Ariel (1995) Automobile Prices in Market Equilibrium | 0.644 | 2 | 2 | 100% |
| 8 | Hahn, Jinyong and Newey, Whitney K (2004) Jackknife and Analytical Bias Reduction for Nonlinear Panel Models | 0.644 | 2 | 2 | 100% |
| 9 | Chen, Xiaohong (2007) Large Sample Sieve Estimation of Semi-Nonparametric Models | 0.585 | 4 | 3 | 25% |
| 10 | Newey, Whitney K. and McFadden, Daniel (1994) Chapter 36 Large sample estimation and hypothesis testing | 0.585 | 4 | 3 | 25% |
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