Estimation in Large and Disaggregated Demand Systems: An Estimator for Conditionally Linear Systems

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Estimation in Large and Disaggregated Demand Systems: An Estimator for Conditionally Linear Systems

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Blundell, Richard
Robin, Jean Marc

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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.

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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 14 (1999)
Issue (Month): 3 (May-June)
Pages: 209-32
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Handle: RePEc:jae:japmet:v:14:y:1999:i:3:p:209-32

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Paper
- R, Blundell ; Jean-Marc Robin, . "Estimation in Large and Dissagregated Demand Systems : An Estimator for Conditionally Linear Systems," Working Papers 97-08, Centre de Recherche en Economie et Statistique. [Downloadable!]

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