pyb

pyblp

BLP Demand Estimation with Python

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PyBLP

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.. description-start

An overview of the model, examples, references, and other documentation can be found on Read the Docs <https://pyblp.readthedocs.io/en/stable/>_.

.. docs-start

PyBLP is a Python 3 implementation of routines for estimating the demand for differentiated products with BLP-type random coefficients logit models. This package was created by Jeff Gortmaker <https://jeffgortmaker.com/> in collaboration with Chris Conlon <https://chrisconlon.github.io/>.

Development of the package has been guided by the work of many researchers and practitioners. For a full list of references, including the original work of Berry, Levinsohn, and Pakes (1995) <https://ideas.repec.org/a/ecm/emetrp/v63y1995i4p841-90.html>, refer to the references <https://pyblp.readthedocs.io/en/stable/references.html> section of the documentation.

Citation

If you use PyBLP in your research, we ask that you also cite Conlon and Gortmaker (2020) <https://jeffgortmaker.com/files/pyblp.pdf>_, which describes the advances implemented in the package. ::

@article{PyBLP,
    author = {Conlon, Christopher and Gortmaker, Jeff},
    title = {Best practices for differentiated products demand estimation with {PyBLP}},
    journal = {The RAND Journal of Economics},
    volume = {51},
    number = {4},
    pages = {1108-1161},
    doi = {https://doi.org/10.1111/1756-2171.12352},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/1756-2171.12352},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/1756-2171.12352},
    year = {2020}
}

Installation

The PyBLP package has been tested on Python <https://www.python.org/downloads/> versions 3.6, 3.7, and 3.8. The SciPy instructions <https://scipy.org/install.html> for installing related packages is a good guide for how to install a scientific Python environment. A good choice is the Anaconda Distribution <https://www.anaconda.com/distribution/>, since it comes packaged with the following PyBLP dependencies: NumPy <https://numpy.org/>, SciPy <https://www.scipy.org/>, SymPy <https://www.sympy.org/en/index.html>, and Patsy <https://patsy.readthedocs.io/en/latest/>. For absorption of high dimension fixed effects, PyBLP also depends on its companion package PyHDFE <https://github.com/jeffgortmaker/pyhdfe>, which will be installed when PyBLP is installed.

However, PyBLP may not work with old versions of its dependencies. You can update PyBLP's Anaconda dependencies with::

conda update numpy scipy sympy patsy

You can update PyHDFE with::

pip install --upgrade pyhdfe

You can install the current release of PyBLP with pip <https://pip.pypa.io/en/latest/>_::

pip install pyblp

You can upgrade to a newer release with the --upgrade flag::

pip install --upgrade pyblp

If you lack permissions, you can install PyBLP in your user directory with the --user flag::

pip install --user pyblp

Alternatively, you can download a wheel or source archive from PyPI <https://pypi.org/project/pyblp/>. You can find the latest development code on GitHub <https://github.com/jeffgortmaker/pyblp/> and the latest development documentation here <https://pyblp.readthedocs.io/en/latest/>_.

Other Languages

Once installed, PyBLP can be incorporated into projects written in many other languages with the help of various tools that enable interoperability with Python.

For example, the reticulate <https://github.com/rstudio/reticulate>_ package makes interacting with PyBLP in R straightforward::

library(reticulate)
pyblp <- import("pyblp")
pyblp$options$flush_output <- TRUE

Similarly, PyCall <https://github.com/JuliaPy/PyCall.jl>_ can be used to incorporate PyBLP into a Julia workflow::

using PyCall
pyblp = pyimport("pyblp")

The py command <https://www.mathworks.com/help/matlab/call-python-libraries.html>_ serves a similar purpose in MATLAB::

py.pyblp

Features

  • R-style formula interface
  • Bertrand-Nash supply-side moments
  • Multiple equation GMM
  • Demographic interactions
  • Micro moments that match demographic expectations and covariances
  • Second choice micro moments that match probabilities and covariances
  • Custom micro moments
  • Fixed effect absorption
  • Nonlinear functions of product characteristics
  • Concentrating out linear parameters
  • Normal and lognormal random coefficients
  • Parameter bounds and constraints
  • Random coefficients nested logit (RCNL)
  • Approximation to the pure characteristics model
  • Varying nesting parameters across groups
  • Logit and nested logit benchmarks
  • Classic BLP instruments
  • Differentiation instruments
  • Optimal instruments
  • Tests of overidentifying and model restrictions
  • Parametric boostrapping post-estimation outputs
  • Elasticities and diversion ratios
  • Marginal costs and markups
  • Profits and consumer surplus
  • Merger simulation
  • Custom counterfactual simulation
  • Synthetic data construction
  • SciPy or Artleys Knitro optimization
  • Fixed point acceleration
  • Monte Carlo, quasi-random sequences, quadrature, and sparse grids
  • Importance sampling
  • Custom optimization and iteration routines
  • Robust and clustered errors
  • Linear or log-linear marginal costs
  • Partial ownership matrices
  • Analytic gradients
  • Finite difference Hessians
  • Market-by-market parallelization
  • Extended floating point precision
  • Robust error handling

Features Slated for Future Versions

  • Fast, "Robust," and Approximately Correct (FRAC) estimation
  • Analytic Hessians
  • Mathematical Program with Equilibrium Constraints (MPEC)
  • Generalized Empirical Likelihood (GEL)
  • Discrete types
  • Newton methods for computing equilibrium prices

Bugs and Requests

Please use the GitHub issue tracker <https://github.com/jeffgortmaker/pyblp/issues>_ to submit bugs or to request features.

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