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Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems

Abstract : Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non-linear. We show, however, that all popular systems possess the property of conditional linearity. A computationally attractive iterated linear least squares estimator (ILLE) is proposed for large non-linear simultaneous equation systems which are conditionally linear in unknown parameters. The estimator is shown to be consistent and its asymptotic efficiency properties are derived. An application is given for a 22-commodity quadratic demand system using household-level data from a time series of repeated cross-sections.
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Submitted on : Friday, November 5, 2021 - 11:25:44 AM
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Richard Blundell, Jean-Marc Robin. Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems. Journal of Applied Econometrics, Wiley, 1999, 14 (3), pp.209 - 232. ⟨hal-03416400⟩

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