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Communication Dans Un Congrès Année : 2007

Estimating censored and non homothetic demand systems : the generalized maximum entropy appoach

Résumé

The econometric estimation of zero censored demand system faces major difficulties. The virtual price approach pioneered by Lee and Pitt in an econometric framework is theoretically consistent but empirically feasible only for homothetic demand system and even may fail to converge depending on initial conditions. In this paper we propose to expand on this approach by relying on the generalized maximum entropy concept instead of the Maximum Likelihood paradigm. The former is robust to the error distribution while the latter must stick with a normality assumption. Accordingly the econometric specification of censored demand systems with virtual prices is made easier even with non homothetic preferences defined over several goods. Illustrative Monte Carlo sampling results show its relative performance.
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Dates et versions

hal-02814735 , version 1 (06-06-2020)

Identifiants

  • HAL Id : hal-02814735 , version 1
  • PRODINRA : 26692

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Fabienne Femenia, Alexandre Gohin. Estimating censored and non homothetic demand systems : the generalized maximum entropy appoach. 9. Annual Conference on Global Economic Analysis, 2007, Purdue, United States. 24 p. ⟨hal-02814735⟩

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