Nikolaj Nielsen defends his PhD thesis
Candidate
Nikolaj Nielsen
Title: "The Econometrics of Perturbed Utility and Demand Inversion"
Time and place: 3 September 2021 at 15:30 in CSS 26.2.21.
An electronic copy of the thesis can be obtained here: charlotte.jespersen@econ.ku.dk
Assessment Committee
- Professor Bertel Schjerning, Department of Economics, University of Copenhagen (Chairman)
- Professor XiaoXia Shi, University of Wisconsin, US
- Professor Professor Aureo de Paula, University College London, UK
Abstract
This thesis consists of three self-contained chapters. In the first chapter, written together with Mogens Fosgerau and Dennis Kristensen, we study the perturbed utility model of discrete choice. We derive simple regularity conditions for the resulting demand function to be well-behaved and invertible, and we use these properties to develop a simple and efficient estimation procedure for such models.
In the second chapter, written with Mogens Fosgerau, we develop a new perturbed utility model of demand for differentiated options. Options are similar according to a set of characteristics, and similar options may be close substitutes or complements.
In the third chapter, I develop an estimation procedure for dynamic discrete choice models. This estimator obtains the same computational advantages as the Nested Pseudo Likelihood algorithm, but handles arbitrary distributions of the idiosyncratic shocks and nonlinear payoff functions.