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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.

Suggested Citation

  • Millimet, Daniel L. & Tchernis, Rusty, 2008. "Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints," Journal of Econometrics, Elsevier, vol. 147(2), pages 384-395, December.
  • Handle: RePEc:eee:econom:v:147:y:2008:i:2:p:384-395
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    References listed on IDEAS

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    Cited by:

    1. Kasteridis, Panagiotis & Yen, Steven, 2012. "U.S. demand for organic and conventional vegetables: a Bayesian censored system approach," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 56(3), September.
    2. 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.
    3. Ferrier, Peyton & Zhen, Chen, 2014. "Explaining the Shift from Preserved to Fresh Vegetable Consumption," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170555, Agricultural and Applied Economics Association.
    4. Golan, Amos & LaFrance, Jeffrey T & Perloff, Jeffrey M. & Seabold, Skipper, 2017. "Estimating a Demand System with Choke Prices," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt4qt9q8vr, Department of Agricultural & Resource Economics, UC Berkeley.

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