Estimation of random coefficient demand models: challenges, difficulties and warnings
"Empirical exercises in economics frequently involve estimation of highly nonlinear models. The criterion function may not be globally concave or convex and exhibit many local extrema. Choosing among these local extrema is non-trivial for a variety of reasons. In this paper, we analyze the sens...
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2008
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
14080 |
| Links: | http://papers.nber.org/papers/w14080.pdf |
| Zusammenfassung: | "Empirical exercises in economics frequently involve estimation of highly nonlinear models. The criterion function may not be globally concave or convex and exhibit many local extrema. Choosing among these local extrema is non-trivial for a variety of reasons. In this paper, we analyze the sensitivity of parameter estimates, and most importantly of economic variables of interest, to both starting values and the type of non-linear optimization algorithm employed. We focus on a class of demand models for differentiated products that have been used extensively in industrial organization, and more recently in public and labor. We find that convergence may occur at a number of local extrema, at saddles and in regions of the objective function where the first-order conditions are not satisfied. We find own- and cross-price elasticities that differ by a factor of over 100 depending on the set of candidate parameter estimates. In an attempt to evaluate the welfare effects of a change in an industry's structure, we undertake a hypothetical merger exercise. Our calculations indicate consumer welfare effects can vary between positive values to negative seventy billion dollars depending on the set of parameter estimates used"--National Bureau of Economic Research web site |
| Umfang: | 68 S. graph. Darst. 22 cm |
Internformat
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| 100 | 1 | |a Knittel, Christopher R. |e Verfasser |0 (DE-588)129705020 |4 aut | |
| 245 | 1 | 0 | |a Estimation of random coefficient demand models |b challenges, difficulties and warnings |c Christopher R. Knittel ; Konstantinos Metaxoglou |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2008 | |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 14080 | |
| 520 | 8 | |a "Empirical exercises in economics frequently involve estimation of highly nonlinear models. The criterion function may not be globally concave or convex and exhibit many local extrema. Choosing among these local extrema is non-trivial for a variety of reasons. In this paper, we analyze the sensitivity of parameter estimates, and most importantly of economic variables of interest, to both starting values and the type of non-linear optimization algorithm employed. We focus on a class of demand models for differentiated products that have been used extensively in industrial organization, and more recently in public and labor. We find that convergence may occur at a number of local extrema, at saddles and in regions of the objective function where the first-order conditions are not satisfied. We find own- and cross-price elasticities that differ by a factor of over 100 depending on the set of candidate parameter estimates. In an attempt to evaluate the welfare effects of a change in an industry's structure, we undertake a hypothetical merger exercise. Our calculations indicate consumer welfare effects can vary between positive values to negative seventy billion dollars depending on the set of parameter estimates used"--National Bureau of Economic Research web site | |
| 700 | 1 | |a Metaxoglou, Konstantinos |e Verfasser |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 14080 |w (DE-604)BV002801238 |9 14080 | |
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Datensatz im Suchindex
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| author | Knittel, Christopher R. Metaxoglou, Konstantinos |
| author_GND | (DE-588)129705020 |
| author_facet | Knittel, Christopher R. Metaxoglou, Konstantinos |
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| format | Book |
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| id | DE-604.BV023593961 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:21Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016909291 |
| oclc_num | 254588366 |
| open_access_boolean | 1 |
| owner | DE-521 |
| owner_facet | DE-521 |
| physical | 68 S. graph. Darst. 22 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Knittel, Christopher R. Verfasser (DE-588)129705020 aut Estimation of random coefficient demand models challenges, difficulties and warnings Christopher R. Knittel ; Konstantinos Metaxoglou Cambridge, Mass. National Bureau of Economic Research 2008 68 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 14080 "Empirical exercises in economics frequently involve estimation of highly nonlinear models. The criterion function may not be globally concave or convex and exhibit many local extrema. Choosing among these local extrema is non-trivial for a variety of reasons. In this paper, we analyze the sensitivity of parameter estimates, and most importantly of economic variables of interest, to both starting values and the type of non-linear optimization algorithm employed. We focus on a class of demand models for differentiated products that have been used extensively in industrial organization, and more recently in public and labor. We find that convergence may occur at a number of local extrema, at saddles and in regions of the objective function where the first-order conditions are not satisfied. We find own- and cross-price elasticities that differ by a factor of over 100 depending on the set of candidate parameter estimates. In an attempt to evaluate the welfare effects of a change in an industry's structure, we undertake a hypothetical merger exercise. Our calculations indicate consumer welfare effects can vary between positive values to negative seventy billion dollars depending on the set of parameter estimates used"--National Bureau of Economic Research web site Metaxoglou, Konstantinos Verfasser aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 14080 (DE-604)BV002801238 14080 http://papers.nber.org/papers/w14080.pdf kostenfrei Volltext |
| spellingShingle | Knittel, Christopher R. Metaxoglou, Konstantinos Estimation of random coefficient demand models challenges, difficulties and warnings |
| title | Estimation of random coefficient demand models challenges, difficulties and warnings |
| title_auth | Estimation of random coefficient demand models challenges, difficulties and warnings |
| title_exact_search | Estimation of random coefficient demand models challenges, difficulties and warnings |
| title_full | Estimation of random coefficient demand models challenges, difficulties and warnings Christopher R. Knittel ; Konstantinos Metaxoglou |
| title_fullStr | Estimation of random coefficient demand models challenges, difficulties and warnings Christopher R. Knittel ; Konstantinos Metaxoglou |
| title_full_unstemmed | Estimation of random coefficient demand models challenges, difficulties and warnings Christopher R. Knittel ; Konstantinos Metaxoglou |
| title_short | Estimation of random coefficient demand models |
| title_sort | estimation of random coefficient demand models challenges difficulties and warnings |
| title_sub | challenges, difficulties and warnings |
| url | http://papers.nber.org/papers/w14080.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT knittelchristopherr estimationofrandomcoefficientdemandmodelschallengesdifficultiesandwarnings AT metaxogloukonstantinos estimationofrandomcoefficientdemandmodelschallengesdifficultiesandwarnings |