Stochastic specification and estimation of share equation systems

DOI10.1016/0304-4076(87)90032-7MaRDI QIDQ1094072zbMATH OpenOpenAlexFDO

Authors Jean-Paul Chavas, Kathleen Segerson

Publication date 1987

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(87)90032-7

zbMATH Keywords

additive error termsanalysis of producer and consumer behaviorheteroscedastic errorsinvariance of a minimum distance estimatorrandom objective functionstochastic specification of singular share equation systems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Review text

Plusieurs problèmes économiques (touchant à la théorie du consommateur ou du producteur) conduisent à un système de n équations: \[ (1)\quad w_ i=(\partial F/\partial Ln(p_ i))/\sum^{n}_{j=1}\partial F/\partial Ln(p_ j),\quad i=1,...,n, \] où \((p_ 1,...,p_ n)\) est un vecteur de prix, \(F(p,\bar z,\beta)\) une fonction objectif dépendant des prix, d'un paramètre vectoriel \(\beta\) et d'autres variables \(\bar z;\) \((w_ 1,...,w_ n)\) peut être considéré comme un vecteur de répartition. L'objet de l'étude est une extension stochastique du type \(\bar z=(z,e)\) où z est un facteur observable et e une perturbation aléatoire. Un cas particulier de séparabilité du second membre de (1) est envisagé qui assure l'existence d'estimateurs convergents de \(\beta\). Cette séparabilité impose diverses restrictions à F selon sa forme. Sont étudiées également les restrictions qu'impose l'hypothèse d'homoscédasticité des perturbations. Enfin est envisagé le comportement de l'estimateur d'Aitken du paramètre \(\beta\), en particulier quand la matrice de variance-covariance de la perturbation n'est pas de plein rang.

Recommendations

• The stochastic specification of demand share equations: Restricting budget shares to the unit simplex
• Simultaneous equations with random coefficients: Estimating the structural form
• Linear and nonlinear Dirichlet share equations models
• A variant on the argument for the invariance of estimators in a singular system of equations
• Some simple but flexible differential consumer demand systems

Cites work

• A comparison of the power of some tests for heteroskedasticity in the general linear model
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Estimation and Hypothesis Testing in Singular Equation Systems with Autoregressive Disturbances
• Estimation and Inference for Linear Models in Which Subsets of the Dependent Variable are Constrained
• Estimation of Seemingly Unrelated Regressions with Random Coefficients
• Flexible Functional Forms and Expenditure Distributions: An Application to Canadian Consumer Demand Functions
• scientific article; zbMATH DE number 3537417 (Why is no real title available?)
• scientific article; zbMATH DE number 3434984 (Why is no real title available?)
• scientific article; zbMATH DE number 3436880 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• scientific article; zbMATH DE number 3188866 (Why is no real title available?)
• Maximum Likelihood and Iterated Aitken Estimation of Nonlinear Systems of Equations
• Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
• Maximum Likelihood Estimation of the Linear Expenditure System
• On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
• Seemingly unrelated nonlinear regressions
• Some Estimators for a Linear Model with Random Coefficients
• The Consistency of Nonlinear Regressions
• The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
• The Linear Logarithmic Expenditure System: An Application to Consumption-Leisure Choice
• The Structure of Utility Functions
• The translog function and the substitution of equipment, structures, and labor in U. S. manufacturing 1929 - 68
• Theory and Time Series Estimation of the Quadratic Expenditure System

Cited in

(12)

• The stochastic specification of demand share equations: Restricting budget shares to the unit simplex
• Stochastic dynamic models with stock-dependent rewards
• Seemingly unrelated regressions under additive heteroscedasticity. Theory and share equation applications
• Stochastic specification in random production models of cost-minimizing firms
• SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form
• Structural estimation of stock market participation costs
• Analytical expression of the expected values of capital at voting in the stochastic environment
• Methods of PC realization of the stochastic models of stock and bond values
• Multivariate fractional regression estimation of econometric share models
• Share equations in econometrics: A story of repression, trustration and dead ends
• Estimation of a partially linear seemingly unrelated regressions model: application to a translog cost system
• Linear and nonlinear Dirichlet share equations models

This page was built for publication: Stochastic specification and estimation of share equation systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1094072)