On the Estimation of Demand Systems through Consumption Efficiency
The authors consider a Bayesian implementation of a new approach to estimating demand systems. This approach, suggested by Hal R. Varian (1990), is based on a generalization of Sidney Afriat's (1967) efficiency index. The model the authors propose leads to a very tractable posterior and predictive analysis, yet allows for interesting economic interpretations. They conduct a sensitivity analysis with respect to the prior in an application to annual aggregate U.S. consumption data and conclude that the sample is quite informative. Average efficiency and expected budget shares are examined in some detail. Copyright 1996 by MIT Press.
Volume (Year): 78 (1996)
Issue (Month): 3 (August)
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- KOOP, Gary & STEEL, MarkÂ F. & OSIEWALSKI, Jacek, 1994. "Posterior Analysis of Stochastic Frontier Models using Gibbs Sampling," CORE Discussion Papers 1994061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koop, G. & Osiewalski, J. & Steel, M.F.J., 1994.
"Bayesian efficiency analysis with a flexible form : The aim cost function,"
1994-13, Tilburg University, Center for Economic Research.
- Koop, Gary & Osiewalski, Jacek & Steel, Mark F J, 1994. "Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 339-46, July.
- Varian, Hal R., 1990. "Goodness-of-fit in optimizing models," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 125-140.
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
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