TY  - BOOK
AU  - Conlon,Christopher
AU  - Gortmaker,Jeff
ED  - National Bureau of Economic Research.
TI  - Incorporating Micro Data into Differentiated Products Demand Estimation with PyBLP
T2  - NBER working paper series
PY  - 2023///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
KW  - Estimation: General
KW  - jelc
KW  - Methodological Issues: General
KW  - General
KW  - Consumer Economics: Empirical Analysis
KW  - Food • Beverages • Cosmetics • Tobacco • Wine and Spirits
N1  - August 2023; Hardcopy version available to institutional subscribers
N2  - We provide a general framework for incorporating many types of micro data from summary statistics to full surveys of selected consumers into Berry, Levinsohn, and Pakes (1995)-style estimates of differentiated products demand systems. We extend best practices for BLP estimation in Conlon and Gortmaker (2020) to the case with micro data and implement them in our open-source package PyBLP. Monte Carlo experiments and empirical examples suggest that incorporating micro data can substantially improve the finite sample performance of the BLP estimator, particularly when using well-targeted summary statistics or "optimal micro moments" that we derive and show how to compute
UR  - https://www.nber.org/papers/w31605
UR  - http://dx.doi.org/10.3386/w31605
ER  -