Estimating discrete choice demand models with sparse market-product shocks / Zhentong Lu, Kenichi Shimizu. : FB3-5/2025-10E-PDF

"We propose a new approach to estimating the random coefficient logit demand model for differentiated products when the vector of market-product-level shocks is sparse. Assuming sparsity, we establish nonparametric identification of the distribution of random coefficients and demand shocks under mild conditions. Then we develop a Bayesian estimation procedure, which exploits the sparsity structure using shrinkage priors, to conduct inference about the model parameters and counterfactual quantities"--Abstract, page ii.

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