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Estimation in Large and Dissagregated Demand Systems : An Estimator for Conditionally Linear Systems


  • R, Blundell


  • Jean-Marc Robin



Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non-linear. We show, however, that all popular systems possess the property of conditional linearity. A computationally attractive iterated linear least squares estimator (ILLE) is proposed for large non-linear simultaneous equation systems which are conditionally linear in unknown parameters. The estimator is shown to be consistent and its asymptotic efficiency properties are derived. An application is given for a 22-commodity quadratic demand system using household-level data from a time series of repeated cross-sections.
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  • R, Blundell & Jean-Marc Robin, 1997. "Estimation in Large and Dissagregated Demand Systems : An Estimator for Conditionally Linear Systems," Working Papers 97-08, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:97-08

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