Essays on Econometrics and Industrial Organization

This dissertation is comprised of three chapters. The unifying theme of this dissertation is the estimation of demand. The first chapter proposes a method to estimate concentration parameters for bandit algorithms. It can be applied to experimenting with prices when demand is initially unknown. The second chapter develops a method to estimate nesting structures in demand models. The third chapter considers the estimation of demand when there are finitely many consumers, specifically the zero-valued market shares.