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An iterated least squares estimator for conditionally linear equations models
[[Un estimateur des moindres carrés itérés pour les modèles d'équation conditionnellement linéaires]]

Author

Listed:
  • R. Blundell

    (Inconnu)

  • J.M. Robin

    (Laboratoire d'économie du développement, d'histoire des populations et d'analyse des échanges et des politiques agricoles (LEDHEP) - INRA - Institut National de la Recherche Agronomique)

Abstract

Les systèmes de demande empirique qui n'imposent pas de restrictions déraisonnables sur les préférences sont typiquement non-linéaires. Les auteurs montrent cependant que tous les systèmes populaires possèdent la propriété de linéarité conditionnelle. Un estimateur linéaire itéré très attractif du point de vue calcul est proposé pour des systèmes d'équation composés d'un grand nombre d'équations simultanées qui sont conditionnellement linéaires par rapport aux paramètres d'intérêt. Les auteurs montrent que l'estimateur est convergent et ils en dérivent les propriétés d'efficacité asymptotique. Ils donnent une application pour un système de demande quadratique de vingt-deux produits en utilisant des données individuelles issues d'une série temporelle de coupes répétées.

Suggested Citation

  • R. Blundell & J.M. Robin, 1999. "An iterated least squares estimator for conditionally linear equations models [[Un estimateur des moindres carrés itérés pour les modèles d'équation conditionnellement linéaires]]," Post-Print hal-02693122, HAL.
    • Handle: RePEc:hal:journl:hal-02693122
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    Citations

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    Cited by:

    1. François Gardes & Christophe Starzec, 2009. "Polish Households' Behavior in the Regular and Informal Economies," Revue économique, Presses de Sciences-Po, vol. 60(5), pages 1181-1210.
    2. Marc-Arthur Diaye & François Gardes & Christophe Starzec, 2009. "GARP violation, Economic Environment Distortions and Shadow Prices : Evidence from Household Expenditure Panel Data," Post-Print halshs-00376747, HAL.
    3. Chris Van Klaveren & Bernard M.S. Van Praag & Henriette Maassen van den Brink & Bernard M.S. van Praag, 2009. "Collective Labor Supply of Native Dutch and Immigrant Households in the Netherlands," CESifo Working Paper Series 2872, CESifo.
    4. Chris Klaveren & Bernard Praag & Henriette Maassen van den Brink, 2008. "A public good version of the collective household model: an empirical approach with an application to British household data," Review of Economics of the Household, Springer, vol. 6(2), pages 169-191, June.
    5. Marc-Arthur Diaye & François Gardes & Christophe Starzec, 2009. "GARP violation, economic environment distortions and shadow prices: Evidence from household expenditure panel data," Documents de travail du Centre d'Economie de la Sorbonne 09020, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    6. François Gardes & Christophe Starzec, 2009. "Polish Households' Behavior in the Regular and Informal Economies," Post-Print halshs-00449447, HAL.
    7. Marc-Arthur Diaye & François Gardes & Christophe Starzec, 2010. "GARP violation, Economic Environment Distortions and Shadow Prices: Evidence from Household Expenditure Panel Data," Post-Print halshs-00449463, HAL.
    8. Francois Gardes & Christophe Starzec, 2004. "Income Effects on Services Expenditures," DEMPATEM Working Papers wp7, AIAS, Amsterdam Institute for Advanced Labour Studies.
    9. Blow, Laura & Crawford, Ian, 2002. "A nonparametric method for valuing new goods," Working Paper Series 143, European Central Bank.
    10. François Gardes & Christophe Starzec, 2009. "Polish Households' behavior in the Regular and Informal Economies," Post-Print halshs-00375543, HAL.

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    Keywords

    DEMANDE;

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