Primal-Dual Estimation of a Linear Expenditure Demand System
Efficient estimates require the utilization of all the available theoretical and statistical information. This fact suggests that econometric models based on an explicit optimization theory might achieve more efficient estimates when all the primal and dual relations are used for a joint estimation of the model’s parameters. We present a discussion of this idea using a Linear Expenditure System (LES) of consumer demand. We assume that the risk-neutral household chooses its consumption plan on the basis of expected information. Some time after that decision, the econometrician attempts to measure quantities and prices and in so doing commits measurement errors. Hence, the econometric model is an errors-in-variables nonlinear system of equations for which there is no known consistent estimator. We propose an easy-to-implement estimator and analyze its empirical properties by a Monte Carlo simulation that shows a relatively small bias.
|Date of creation:||Jun 2004|
|Date of revision:|
|Contact details of provider:|| Phone: 530-752-1517|
Web page: http://www.agecon.ucdavis.edu/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fuller, Wayne A., 1980. "The use of indicator variables in computing predictions," Journal of Econometrics, Elsevier, vol. 12(2), pages 231-243, February.
When requesting a correction, please mention this item's handle: RePEc:ags:ucdavw:93741. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.