blp: Estimates from Berry, Levinsohn, and Pakes (1995)

In kolesarm/GMMSensitivity: Optimal Sensitivity Analysis in Generalized Method of Moments Models

Description

This dataset contains estimates of the model in Berry, Levinsohn, and Pakes (1995), as implemented by Andrews, Gentzkow, and Shapiro (2017). It is used to illustrate the confidence intervals implemented in this package.

Usage

blp

Format

A list, consisting 11 objects:

G

Matrix with 31 rows and 17 columns, estimate of derivative of the moment condition evaluated at initial estimate of θ from Berry, Levinsohn, and Pakes (1995), thetahat_init.

H

Vector of length 17, estimate of derivative of average markup h(theta) with respect to model parameters theta, evaluated at thetahat_init.

W

Weight matrix used to obtain the estimate thetahat_init, preliminary estimate of variance of moment conditions.

g_init

Average moment condition, evaluated at thetahat_init.

h_init

Estimate of the average markup, h(thetahat_init).

names

Two lists, one for names of the moment conditions, and one for elements of theta.

ZZ

Gram matrix Z'Z of the instruments, used to specify the misspecification set \mathcal{C}.

Sig

Estimate of variance of moment condition.

sdZ

Vector of standard deviations of the instruments.

perturb

scaling parameters to give interpretable meaning to violations of supply-side conditions. See vignette vignette("GMMSensitivity") for details.

n

Sample size, number of car models.

See Armstrong and Kolesár (2020) for a detailed description of these objects.

Source

Replication files for Andrews, Gentzkow, and Shapiro (2017), available at https://doi.org/10.7910/DVN/LLARSN

References

Andrews, I., M. Gentzkow, and J. M. Shapiro (2017): Measuring the Sensitivity of Parameter Estimates to Sample Statistics, Quarterly Journal of Economics, 132, 1553–1592.

Armstrong, T. B., and M. Kolesár (2020): Sensitivity Analysis Using Approximate Moment Condition Models, https://arxiv.org/abs/1808.07387

Berry, S. T., J. Levinsohn, and A. Pakes (1995): Automobile Prices in Market Equilibrium, Econometrica, 63, 841–890.

kolesarm/GMMSensitivity documentation built on Sept. 17, 2020, 5:47 p.m.