Assistant Professor
Department of Economics

Matlab code for "Asymptotic theory for differentiated products demand models with many markets".

My code is an adaption of the code of Dubé, Fox and Su (2012) who use the MPEC approach to estimate the model. The main difference is that I allow for different draws to approximate the integral of the predicted shares in different markets. I also implement a bias corrected estimator and new standard errors which control for Monte Carlo integration and market share approximation. If you use this code for your research, please use both Dubé, Fox, and Su (2012) and Freyberger (2015) as a reference.

The main file is BLP_MPEC.m. It first simulates data, then estimates the model using MPEC, and finally calculates the bias corrected estimator and adjusted standard errors.