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

Author

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  • Richard Blundell

    (Economics department - MIT - Massachusetts Institute of Technology)

  • Jean-Marc Robin

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.

Suggested Citation

  • Richard Blundell & Jean-Marc Robin, 1999. "Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems," Post-Print hal-03416400, HAL.
    • Handle: RePEc:hal:journl:hal-03416400
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    References listed on IDEAS

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