Estimating almost-ideal demand systems with endogenous regressors

Sébastien Lecocq and Jean-Marc Robin

Stata Journal, 2015, vol. 15, issue 2, 554-573

Abstract: In this article, we present the new aidsills command for estimating almost-ideal demand systems and their quadratic extensions. In contrast with Poi's (2012, Stata Journal 12: 433–446) quaids command, which is based on the nonlinear nlsur command, aidsills uses the computationally attractive iterated linear least-squares estimator developed by Blundell and Robin (1999, Journal of Applied Econometrics 14: 209–232). The new command further allows one to account for endogenous prices and total expenditure by using instrumental-variable techniques. Elasticities and their standard errors can be obtained using the aidsills elas postestimation command. Copyright 2015 by StataCorp LP.

Keywords: aidsills; aidsills pred; aidsills elas; almost ideal; demand system; quadratic; endogeneity; iterated; linear; least squares (search for similar items in EconPapers)
Date: 2015
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