Estimating Demand Response with Panel Data
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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|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〉|
|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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