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Estimating Demand Response with Panel Data

Listed author(s):
  • Sébastien Lecocq

    (CORELA - Laboratoire de Recherche sur la Consommation - INRA - Institut National de la Recherche Agronomique)

  • Jean-Marc Robin

    ()

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

In this paper, we extend to panel data the iterated linear least squares estimator of Blundell and Robin (in J Appl Econometrics 14: 209-232 1999). It is shown to be consistent when total expenditure and regression residuals are correlated, either because of simultaneity or because of unobserved heterogeneity. We propose separate tests for these two effects. Monte Carlo experiments are then conducted and the estimator is applied to data drawn from a French Consumer Panel.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00279657.

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Date of creation: Nov 2006
Publication status: Published in Empirical Economics, Springer Verlag, 2006, 31 (4), pp.1043-1060. 〈10.1007/s00181-006-0067-4〉
Handle: RePEc:hal:cesptp:hal-00279657
DOI: 10.1007/s00181-006-0067-4
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00279657
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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  1. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
  2. Browning, Martin & Meghir, Costas, 1991. "The Effects of Male and Female Labor Supply on Commodity Demands," Econometrica, Econometric Society, vol. 59(4), pages 925-951, July.
  3. Gardes, Francois & Langlois, Simon & Richaudeau, Didier, 1996. "Cross-section versus time-series income elasticities of Canadian consumption," Economics Letters, Elsevier, vol. 51(2), pages 169-175, May.
  4. James Banks & Richard Blundell & Arthur Lewbel, 1997. "Quadratic Engel Curves And Consumer Demand," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 527-539, November.
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