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

✍ Scribed by Richard Blundell; Jean Marc Robin

Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
241 KB
Volume
14
Category
Article
ISSN
0883-7252

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✦ Synopsis

Empirical demand systems that do not impose unreasonable restrictions on preferences are typically nonlinear. 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 eciency properties are derived. An application is given for a 22-commodity quadratic demand system using household-level data from a time series of repeated crosssections.

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