Estimating demand response with panel data

Sébastien Lecocq and Jean-Marc Robin

Post-Print from HAL

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.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Published in Empirical Economics, 2006, 31 (4), pp.1043 - 1060

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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)
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:hal:journl:hal-03416040

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().