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Article Dans Une Revue Journal of Applied Econometrics Année : 1999

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

Résumé

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.

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Dates et versions

hal-00359353 , version 1 (06-02-2009)

Identifiants

  • HAL Id : hal-00359353 , version 1
  • PRODINRA : 249982

Citer

Richard Blundell, Jean-Marc Robin. Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems. Journal of Applied Econometrics, 1999, 14 (3), pp.209-232. ⟨hal-00359353⟩
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