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

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  • R, Blundell

    (Crest)

  • Jean-Marc Robin

    (Crest)

Abstract

Les systèmes de demande empirique qui n'imposent pas de restrictions déraisonnables aux préférences sont typiquement non linéaires. Pour des objectifs empiriques, une estimation exacte de systèmes d'équation non linéaires, pour de grands panels de données à plus d'un petit nombre d'équations, a typiquement été limitée par des non-linéarités dans les paramètres d'intérêt. Les auteurs démontrent cependant que tous les systèmes connus possèdent la propriété de linéarité conditionnelle, y compris le Translog, AILES (Almost Ideal and Linear Expenditure Systems). Un estimateur linéaire itératif (ILLE) est proposé pour de grands systèmes à équation simultanée non linéaire, conditionnellement linéaires sous paramètres inconnus. Les auteurs montrent que l'estimateur est consistant, et ses propriétés d'efficacité asymptotique sont dérivées. Une application est donnée pour un système de demande quadratique à 22 composantes utilisant, au niveau des ménages, les données d'une série chronologique à section croisée itérative tirée de la "UK Family Expenditure Survey 1974-1993".
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Suggested Citation

  • 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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    References listed on IDEAS

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