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Essais sur l'estimation structurelle de la demande

Abstract : Estimation of structural demand models in differentiated product markets plays an important role in economics. It allows to better understand consumers’ choices and, amongst other, to assess the effects of mergers, new products, and changes in regulation. The standard approach consists in specifying a utility model, typically an additive random utility model, computing its demands, and inverting them to obtain inverse demand equations, which will serve as a basis for estimation. However, since these inverse demands have generally no closed form, estimation requires numerical inversion and non-linear optimization, which can be painful and time-consuming. This dissertation adopts a different approach, developing novel inverse demand models, which are consistent with a utility model of heterogeneous consumers. This approach allows to accommodate rich substitution patterns thanks to simple linear regressions with data on market shares, prices and product characteristics. The first chapter of this dissertation develops the inverse product differentiation logit (IPDL) model, which generalizes the nested logit models to allow for richer substitution patterns, including complementarity. It also shows that the IPDL model belongs to the class of generalized inverse logit (GIL) models, which includes a vast majority of additive random utility models that have been used for demand estimation purposes. The second chapter develops the flexible inverse logit (FIL) model, a GIL model that uses a flexible nesting structure with a nest for each pair of products. It shows that the FIL model, projected into product characteristics space, makes the price elasticities depending on product characteristics directly and, using Monte Carlo simulations, that it is able to mimic those from the "flexible" random coefficient logit model. The third chapter studies the micro-foundation of the GIL model. It shows that the restrictions that the GIL model imposes on the inverse demand function are necessary and sufficient for consistency with a model of heterogeneous and utility-maximizing consumers, called perturbed utility model. It also shows that any GIL model yields a demand function that satisfies a slight variant of the Daly-Zachary conditions, which allows to combine substitutability and complementarity in demand.
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Submitted on : Thursday, November 21, 2019 - 12:07:31 PM
Last modification on : Friday, October 23, 2020 - 4:37:51 PM


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  • HAL Id : tel-02373983, version 1



Julien Monardo. Essais sur l'estimation structurelle de la demande. Economies et finances. Université Paris-Saclay, 2019. Français. ⟨NNT : 2019SACLN042⟩. ⟨tel-02373983⟩



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