NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Bernard Salanié

Department of Economics
Columbia University
1033 International Affairs Building, MC 3308
420 West 118th Street
New York, NY 10027
Tel: 212/854-1677
Fax: 212/854-8059

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliations: Columbia University and CEPR

NBER Working Papers and Publications

April 2019Fast, "Robust", and Approximately Correct: Estimating Mixed Demand Systems
with Frank A. Wolak: w25726
Many econometric models used in applied work integrate over unobserved heterogeneity. We show that a class of these models that includes many random coefficients demand systems can be approximated by a “small-σ” expansion that yields a linear two-stage least squares estimator. We study in detail the models of product market shares and prices popular in empirical IO. Our estimator is only approximately correct, but it performs very well in practice. It is extremely fast and easy to implement, and it is “robust” to changes in the higher moments of the distribution of the random coefficients. At the very least, it provides excellent starting values for more commonly used estimators of these models.
July 2012Comment on "Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market"
in NBER Macroeconomics Annual 2012, Volume 27, Daron Acemoglu, Jonathan Parker, and Michael Woodford, editors
 
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