• Corpus ID: 244527218

Maximum Likelihood Estimation of Differentiated Products Demand Systems

@inproceedings{Lewis2021MaximumLE,
  title={Maximum Likelihood Estimation of Differentiated Products Demand Systems},
  author={Greg Lewis and Bora Ozaltun and Georgios Zervas},
  year={2021}
}
We discuss estimation of the differentiated products demand system of Berry et al. (1995) (BLP) by maximum likelihood estimation (MLE). We derive the maximum likelihood estimator in the case where prices are endogenously generated by firms that set prices in Bertrand-Nash equilibrium. In Monte Carlo simulations the MLE estimator outperforms the best-practice GMM estimator on both bias and mean squared error when the model is correctly specified. This remains true under some forms of… 

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