A Neyman-orthogonal estimator paired with Lasso nuisance estimation achieves root-T asymptotic normality for BLP demand parameters under high-dimensional controls and approximate sparsity.
arXiv preprint arXiv:1806.01888 , year=
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Estimation of BLP models with high-dimensional controls
A Neyman-orthogonal estimator paired with Lasso nuisance estimation achieves root-T asymptotic normality for BLP demand parameters under high-dimensional controls and approximate sparsity.