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Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints

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  • Millimet, Daniel L.
  • Tchernis, Rusty

Abstract

Two econometric issues arise in the structural estimation of consumer or producer demand systems in the presence of many binding non-negativity constraints. Firstly, most existing methods entail the evaluation of multivariate probability integrals. Secondly, the issue of statistical coherency must be addressed. We circumvent both of these issues using Gibbs' Sampling, along with data augmentation and rejection sampling. We illustrate our method using several simulated data sets.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 147 (2008)
Issue (Month): 2 (December)
Pages: 384-395

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Handle: RePEc:eee:econom:v:147:y:2008:i:2:p:384-395

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Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Demand systems Translog Coherency Data augmentation Markov Chain Monte Carlo Gibbs' Sampling;

References

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Cited by:
  1. Mikkel Barslund, 2011. "Censored Demand System Estimation with Endogenous Expenditures in clustered samples: an application to food demand in urban Mozambique," LICOS Discussion Papers 28011, LICOS - Centre for Institutions and Economic Performance, KU Leuven.

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