Journal
JOURNAL OF ECONOMETRICS
Volume 147, Issue 2, Pages 384-395Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2008.09.013
Keywords
Demand systems; Translog; Coherency; Data augmentation; Markov Chain Monte Carlo; Gibbs' Sampling
Ask authors/readers for more resources
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. (C) 2008 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available