Bayesian estimation of the exact affine Stone index demand system: Replicating the Lewbel and Pendakur (2009) results

Andrés Ramírez‐Hassan
Authors registered in the RePEc Author Service: Andrés Ramírez Hassan ()

Journal of Applied Econometrics, 2021, vol. 36, issue 4, 484-491

Abstract: This paper proposes a Bayesian approach to perform inference in the exact affine Stone index (EASI) demand system that was proposed by Lewbel and Pendakur (2009), while taking into account nonlinearity and endogeneity. A Bayesian approach enables us to easily handle censored data, test and impose inequality restrictions (strict cost monotonicity) and concavity of the cost function, and perform inference of nonlinear functions of the parameter estimates as by‐product of the posterior chains. We compare our proposal with Lewbel and Pendakur (2009)'s results, based on iterative linear three‐stage least squares (3SLS). Although we found no statistically significant differences in point estimates between these two approaches, it seems that ignoring censoring overestimates precision.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/jae.2814

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:36:y:2021:i:4:p:484-491

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().