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Demand System estimation with Stata: Multivariate censoring and other econometric issues

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  • Soufiane Khoudmi

    () (University of Montpellier, LAMETA, France)

  • Benoit Mulkay

    (University of Montpellier , France)

Abstract

This presentation provides a Stata application for the estimation of Blundell, Banks and Lewbel’s (1997) demand system, dealing with the zero problem which is in the heart of many expenditure survey analysis. Starting from Poi’s (2008) routine, our main contribution is the multivariate censoring correction, implementing Tauchman (2010) theoretical framework which relies on including correction terms in the system. These latters are computed from a multivariate probit estimated with Simulated Maximum Likelihood using Cappellari and Jenkins’ (2007) mvnp routine. We also discuss how to deal with several econometric issues related to the demand system estimation literature: Total budget endogeneity, the conditional linearity and the symmetry restriction (using Minimum Distance estimator).

Suggested Citation

  • Soufiane Khoudmi & Benoit Mulkay, 2013. "Demand System estimation with Stata: Multivariate censoring and other econometric issues," 2013 Stata Conference 12, Stata Users Group.
  • Handle: RePEc:boc:norl13:12
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    4. Peter Haan & Arne Uhlendorff, 2006. "Estimation of multinomial logit models with unobserved heterogeneity using maximum simulated likelihood," Stata Journal, StataCorp LP, vol. 6(2), pages 229-245, June.
    5. Hoynes, Hilary Williamson, 1996. "Welfare Transfers in Two-Parent Families: Labor Supply and Welfare Participation under AFDC-UP," Econometrica, Econometric Society, vol. 64(2), pages 295-332, March.
    6. Arthur van Soest, 1995. "Structural Models of Family Labor Supply: A Discrete Choice Approach," Journal of Human Resources, University of Wisconsin Press, vol. 30(1), pages 63-88.
    7. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470.
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