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Estimating demand response with panel data

Author

Listed:
  • Sébastien Lecocq

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

  • Jean-Marc Robin

    (Economics department - MIT - Massachusetts Institute of Technology, UP1 - Université Paris 1 Panthéon-Sorbonne)

Abstract

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.

Suggested Citation

  • Sébastien Lecocq & Jean-Marc Robin, 2006. "Estimating demand response with panel data," Post-Print hal-03416040, HAL.
    • Handle: RePEc:hal:journl:hal-03416040
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    Citations

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    Cited by:

    1. Ferran Sancho, 2024. "Stone–Geary meets CES: the properties of an extended linear expenditure system," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 13(1), pages 1-11, December.
    2. Allais, Olivier & Etilé, Fabrice & Lecocq, Sébastien, 2015. "Mandatory labels, taxes and market forces: An empirical evaluation of fat policies," Journal of Health Economics, Elsevier, vol. 43(C), pages 27-44.
    3. Harding, Matthew & Lovenheim, Michael, 2017. "The effect of prices on nutrition: Comparing the impact of product- and nutrient-specific taxes," Journal of Health Economics, Elsevier, vol. 53(C), pages 53-71.
    4. Chen Zhen & Mary Muth & Abigail Okrent & Shawn Karns & Derick Brown & Peter Siegel, 2019. "Do differences in reported expenditures between household scanner data and expenditure surveys matter in health policy research?," Health Economics, John Wiley & Sons, Ltd., vol. 28(6), pages 782-800, June.
    5. Ferran Sancho, 2022. "Stone-Geary Meets CES: An Extended Linear Expenditure System," Working Papers 1328, Barcelona School of Economics.
    6. Núñez-Sánchez, Ramón & Otoya-Chavarría, Marco & Soberón, Alexandra, 2024. "Price and budget elasticities under utility poverty policies in Spain," Utilities Policy, Elsevier, vol. 88(C).
    7. Olivier Allais & Patrice Bertail & Véronique Nichèle, 2010. "The Effects of a Fat Tax on French Households' Purchases: A Nutritional Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 92(1), pages 228-245.
    8. repec:lic:licosd:28011 is not listed on IDEAS
    9. Olivier Allais; & Fabrice Etile; & Sebastien Lecocq, 2012. "Mandatory labelling, nutritional taxes and market forces: An empirical evaluation of fat policies in the French fromage blanc and yogurt market," Health, Econometrics and Data Group (HEDG) Working Papers 12/14, HEDG, c/o Department of Economics, University of York.

    More about this item

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis

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