Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems

Richard W. Blundell · Jean‐Marc Robin

217 citations0/0 files storedJournal of Applied Econometrics

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Economics of Agriculture and Food Markets Economic and Environmental Valuation Statistical and numerical algorithms

Abstract

Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non-linear. We show, however, that all popular systems possess the property of conditional linearity. A computationally attractive iterated linear least squares estimator (ILLE) is proposed for large non-linear simultaneous equation systems which are conditionally linear in unknown parameters. The estimator is shown to be consistent and its asymptotic efficiency properties are derived. An application is given for a 22-commodity quadratic demand system using household-level data from a time series of repeated cross-sections. Copyright © 1999 John Wiley & Sons, Ltd.

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References

1978Specification Tests in Econometrics 1980An Almost Ideal Demand System 1980Economics and Consumer Behavior 1997Quadratic Engel Curves and Consumer Demand 1981Economics and Consumer Behaviour.1993What do we Learn About Consumer Demand Patterns from Micro Data 1991The Effects of Male and Female Labor Supply on Commodity Demands 1991The Rank of Demand Systems: Theory and Nonparametric Estimation

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