Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints

Daniel Millimet and Rusty Tchernis

Journal of Econometrics, 2008, vol. 147, issue 2, 384-395

Abstract: Two econometric issues arise in the structural estimation of consumer or producer demand systems in the presence of many binding non-negativity constraints. Firstly, most existing methods entail the evaluation of multivariate probability integrals. Secondly, the issue of statistical coherency must be addressed. We circumvent both of these issues using Gibbs' Sampling, along with data augmentation and rejection sampling. We illustrate our method using several simulated data sets.

Keywords: Demand; systems; Translog; Coherency; Data; augmentation; Markov; Chain; Monte; Carlo; Gibbs'; Sampling (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:147:y:2008:i:2:p:384-395

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