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Demand Estimation

Structural models of what consumers choose, and what those choices imply about preferences, substitution patterns, and counterfactual prices. Roughly the reading list for a PhD course on the subject.

Textbooks & Surveys

  • Discrete Choice Methods with Simulation by Kenneth Train (2009)
  • McFadden (1984) Chapter 24 Econometric analysis of qualitative response models [link]
  • Ackerberg et al. (2007) Chapter 63 Econometric Tools for Analyzing Market Outcomes [link]
  • Chintagunta & Nair (2011) Discrete Choice Models of Consumer Demand in Marketing [link]
  • Dubé (2019) Chapter 1 - Microeconometric models of consumer demand [link]
  • Berry & Haile (2021) Foundations of Demand Estimation [link]
  • Gandhi & Nevo (2021) Chapter 2 - Empirical models of demand and supply in differentiated products industries [link]
  • Hortaçsu & Joo (2023) Structural Econometric Modeling in Industrial Organization and Quantitative Marketing [link]

Foundations

  • McFadden (1973) Conditional Logit Analysis of Qualitative Choice Behavior [link]
  • Hausman & Wise (1978) A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences [link]
  • Small & Rosen (1981) Applied Welfare Economics with Discrete Choice Models [link]
  • Guadagni & Little (1983) A Logit Model of Brand Choice Calibrated on Scanner Data [link]
  • Dubin & McFadden (1984) An Econometric Analysis of Residential Electric Appliance Holdings and Consumption [link]
  • Hanemann (1984) Discrete/Continuous Models of Consumer Demand [link]

Individual-Level Data: Heterogeneity & Bayesian Methods

  • Kamakura & Russell (1989) A Probabilistic Choice Model for Market Segmentation and Elasticity Structure [link]
  • Rossi & Allenby (1993) A Bayesian Approach to Estimating Household Parameters [link]
  • McCulloch & Rossi (1994) An Exact Likelihood Analysis of the Multinomial Probit Model [link]
  • Jain et al. (1994) A Random-Coefficients Logit Brand-Choice Model Applied to Panel Data [link]
  • Allenby & Rossi (1998) Marketing Models of Consumer Heterogeneity [link]
  • Revelt & Train (1998) Mixed Logit with Repeated Choices: Households’ Choices of Appliance Efficiency Level [link]
  • McFadden & Train (2000) Mixed MNL models for discrete response [link]
  • Erdem & Keane (1996) Decision-Making Under Uncertainty: Capturing Dynamic Brand Choice Processes in Turbulent Consumer Goods Markets [link]

Aggregate / Market-Share Data

  • Berry (1994) Estimating Discrete-Choice Models of Product Differentiation [link]
  • Berry et al. (1995) Automobile Prices in Market Equilibrium [link]
  • Cardell (1997) Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity [link]
  • Goldberg (1995) Product Differentiation and Oligopoly in International Markets: The Case of the U.S. Automobile Industry [link]
  • Nevo (2000) A Practitioner’s Guide to Estimation of Random-Coefficients Logit Models of Demand [link]
  • Nevo (2001) Measuring Market Power in the Ready-to-Eat Cereal Industry [link]
  • Nevo (2000) Mergers with Differentiated Products: The Case of the Ready-to-Eat Cereal Industry [link]
  • Petrin (2002) Quantifying the Benefits of New Products: The Case of the Minivan [link]
  • Berry et al. (2004) Differentiated Products Demand Systems from a Combination of Micro and Macro Data: The New Car Market [link]
  • Jiang et al. (2009) Bayesian Analysis of Random Coefficient Logit Models Using Aggregate Data [link]
  • Anon. (2012) Improving the Numerical Performance of Static and Dynamic Aggregate Discrete Choice Random Coefficients Demand Estimation [link]
  • Conlon & Gortmaker (2020) Best practices for differentiated products demand estimation with PyBLP [link]
  • Conlon & Gortmaker (2023) Incorporating Micro Data into Differentiated Products Demand Estimation with PyBLP [link]

Endogeneity, Dynamics & State Dependence

  • Villas-Boas & Winer (1999) Endogeneity in Brand Choice Models [link]
  • Dubé et al. (2009) Do Switching Costs Make Markets Less Competitive? [link]
  • Dubé et al. (2010) State Dependence and Alternative Explanations for Consumer Inertia [link]
  • Hendel (1999) Estimating Multiple-Discrete Choice Models: An Application to Computerization Returns [link]
  • Hendel & Nevo (2006) Measuring the Implications of Sales and Consumer Inventory Behavior [link]
  • Erdem et al. (2003) Brand and Quantity Choice Dynamics Under Price Uncertainty [link]