Demand estimation with high-dimensional product characteristics

Benjamin J. Gillen, Matthew Shum, Hyungsik Roger Moon

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


Structural models of demand founded on the classic work of Berry, Levinsohn, and Pakes (1995) link variation in aggregate market shares for a product to the influence of product attributes on heterogeneous consumer tastes. We consider implementing these models in settings with complicated products where consumer preferences for product attributes are sparse, that is, where a small proportion of a high-dimensional product characteristics influence consumer tastes. We propose a multistep estimator to efficiently perform uniform inference. Our estimator employs a penalized pre-estimation model specification stage to consistently estimate nonlinear features of the BLP model. We then perform selection via a Triple-LASSO for explanatory controls, treatment selection controls, and instrument selection. After selecting variables, we use an unpenalized GMM estimator for inference. Monte Carlo simulations verify the performance of these estimators.

Original languageEnglish
Pages (from-to)301-323
Number of pages23
JournalAdvances in Econometrics
Publication statusPublished - 2014

Bibliographical note

Publisher Copyright:
Copyright © 2014 by Emerald Group Publishing Limited.

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


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