[Colloquium] [Announce] Seminar Announcement: A Large Scale Study of the Small Sample Performance of Random Coefficient Models of Demand

[Evelyn Rayburn]

									REMINDER





> Computation Institute Presentation - Data Lunch Seminar (DLS)
> 
> Speaker: Benjamin S. Skrainka , Postdoctoral Scholar, EPIC/Harris School
> Host: Tanu Malik
> 
> Date: March 30, 2012
> Time: 12:00 PM - 1:00 PM
> Location: University of Chicago, Searle 240A, 5735 S. Ellis Avenue
> 
> A Large Scale Study of the Small Sample Performance of Random Coefficient Models of Demand
> 
> Abstract:
> Despite the importance of Berry et al.(1995)'s model of demand for differentiated products (BLP hereafter), there are few results about its finite sample behavior. In theory, simulation experiments provide a tool to answer such questions but computational and numerical difficulties have prevented researchers from performing any realistic studies. Those Monte Carlo studies which exist focus on only one market and often take computational short-cuts.For example, Armstrong (2011) uses only 10 pseudo-Monte Carlo quadrature nodes and fixes the scale of the random coefficients. Nevertheless, by utilizing recent advances in optimization (Su and Judd, 2010; Dubé et al., 2011) and multi-dimensional numerical integration (Skrainka and Judd, 2011), I develop a fast, robust implementation of BLP and show that a large-scale simulation approach is now feasible.This study estimated BLP over 320,000 times and used 94,325 CPU-hours (See [sub:Computational.Cost] for further discussion.). I com pute the finite sample behavior under both the traditional BLP instruments (characteristics of rival goods) and exogenous cost shifters using synthetic data generated from a structural model for realistic numbers of markets and products. This paper, then, has two objectives: to demonstrate the power of modern computational technology for solving previously intractable problems in Economics via massive parallelization and to characterize the finite sample behavior of the BLP estimator.
> 
> Bio:
> Benjamin S. Skrainka is a postdoctoral scholar at EPIC/Harris School. His research focuses on computational methods for solving problems in Economics including high dimensional numerical integration, structural modeling, demand estimation, and merger evaluation. He has a PhD in Economics from UCL as well as over a decade in Silicon Valley.
> 
> 
> Information: Lunch will be provided
> 
> [schedule.ics]
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