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

 

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Type:   Article
 
Titre:   Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems
 
Auteur(s):   Blundell, Richard - Economics Department (UCL) (Auteur)
Robin, Jean-Marc (1961-...) (Auteur)
 
In:   Journal of Applied Econometrics
 
Date de publication:   1999
 
Éditeur:   ÉTATS-UNIS  :  John Wiley & Sons
 
Volume:   14
 
Numéro:   3
 
Pages:   209-232  p.
 
ISSN:   08837252
 
Résumé:   [en] 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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