Extends BLP demand model with interactive fixed effects via factor structure and proposes two-step LS-MD estimator for consistent estimation under endogeneity.
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Introduces a lag-based OLS estimator for GDFM using static PCA factors, establishes consistency and asymptotic normality, and applies it to European macro data to identify sizeable weak common components.
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Estimation of random coefficients logit demand models with interactive fixed effects
Extends BLP demand model with interactive fixed effects via factor structure and proposes two-step LS-MD estimator for consistent estimation under endogeneity.
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A Distributed Lag Approach to the Generalised Dynamic Factor Model
Introduces a lag-based OLS estimator for GDFM using static PCA factors, establishes consistency and asymptotic normality, and applies it to European macro data to identify sizeable weak common components.