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Consistent Estimation of Censored Demand Systems Using Panel Data

  • David E. Sahn

We derive a joint continuous/censored commodity demand system for panel data applications. Unobserved heterogeneity is controlled for using a correlated random effects specification and a generalized method of moments framework used to estimate the model. While relatively small differences in elasticity estimates are found between a flexible random effects specification and one that restricts the random effect coefficient to be time invariant, larger differences are observed when comparing the flexible model to a pooled cross-sectional estimator. The results suggest the limited ability of such estimators to control for preference heterogeneity and unit-value endogeneity leads to parameter bias. Copyright 2005, Oxford University Press.

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File URL: http://hdl.handle.net/10.1111/j.1467-8276.2005.00754.x
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Article provided by Agricultural and Applied Economics Association in its journal American Journal of Agricultural Economics.

Volume (Year): 87 (2005)
Issue (Month): 3 ()
Pages: 660-672

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Handle: RePEc:oup:ajagec:v:87:y:2005:i:3:p:660-672
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