We introduce the BLP-LASSO model, which augments the classic BLP (Berry, Levinsohn, and Pakes, 1995) random-coefficients logit model to allow for data-driven selection among a high- dimensional set of control variables. Economists often study consumers' aggregate behavior across markets choosing...

Economists often study consumers' aggregate behavior across markets choosing from a menu of differentiated products. In this analysis, local demographic characteristics can serve as controls for market-specific heterogeneity in product preferences. Given rich demographic data, implementing these...