Journal
EMPIRICAL ECONOMICS
Volume 31, Issue 4, Pages 1043-1060Publisher
PHYSICA-VERLAG GMBH & CO
DOI: 10.1007/s00181-006-0067-4
Keywords
conditional linearity; demand analysis; panel data; unobserved heterogeneity
Categories
Ask authors/readers for more resources
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.
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