  We examine identification of differentiated products demand when one has
"micro data" linking individual consumers' characteristics and choices. Our
model nests standard specifications featuring rich observed and unobserved
consumer heterogeneity as well as product/market-level unobservables that
introduce the problem of econometric endogeneity. Previous work establishes
identification of such models using market-level data and instruments for all
prices and quantities. Micro data provides a panel structure that facilitates
richer demand specifications and reduces requirements on both the number and
types of instrumental variables. We address identification of demand in the
standard case in which non-price product characteristics are assumed exogenous,
but also cover identification of demand elasticities and other key features
when product characteristics are endogenous. We discuss implications of these
results for applied work.
