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Estimating almost-ideal demand systems with endogenous regressors

Author

Listed:
  • Sebastien Lecocq

    (French National Institute for Agricultural Research (INRA))

  • Jean-Marc Robin

    (Sciences Po)

Abstract

In this article, we present the new aidsills command for estimating almost-ideal demand systems and their quadratic extensions. In contrast with Poi's (2012, Stata Journal 12: 433–446) quaids command, which is based on the nonlinear nlsur command, aidsills uses the computationally attractive iterated linear least-squares estimator developed by Blundell and Robin (1999, Journal of Applied Econometrics 14: 209–232). The new command further allows one to account for endogenous prices and total expenditure by using instrumental-variable techniques. Elasticities and their standard errors can be obtained using the aidsills elas postestimation command. Copyright 2015 by StataCorp LP.

Suggested Citation

  • Sebastien Lecocq & Jean-Marc Robin, 2015. "Estimating almost-ideal demand systems with endogenous regressors," Stata Journal, StataCorp LP, vol. 15(2), pages 554-573, June.
    • Handle: RePEc:tsj:stataj:v:15:y:2015:i:2:p:554-573
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