Estimating Demand Response with Panel Data

Sébastien Lecocq and Jean-Marc Robin

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Abstract: In this paper, we extend to panel data the iterated linear least squares estimator of Blundell and Robin (in J Appl Econometrics 14: 209-232 1999). It is shown to be consistent when total expenditure and regression residuals are correlated, either because of simultaneity or because of unobserved heterogeneity. We propose separate tests for these two effects. Monte Carlo experiments are then conducted and the estimator is applied to data drawn from a French Consumer Panel.

Keywords: Conditional linearity; Demand analysis; Panel data; Unobserved heterogeneity (search for similar items in EconPapers)
Date: 2006-11
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Citations: View citations in EconPapers (10)

Published in Empirical Economics, 2006, 31 (4), pp.1043-1060. ⟨10.1007/s00181-006-0067-4⟩

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Journal Article: Estimating Demand Response with Panel Data (2006)
Working Paper: Estimating Demand Response with Panel Data (2006)
Working Paper: Estimating demand response with panel data (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00279657

DOI: 10.1007/s00181-006-0067-4

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