A neural network demand system with heteroskedastic errors.
In this paper we consider estimation of demand systems with flexible functional forms, allowing an error term with a general conditional heteroskedasticity function that depends on observed covariates, such as demographic variables. We propose a general model that can be estimated either by quasi-ma...
| Publicado en: | Journal of Econometrics Vol. 147; no. 2; pp. 359 - 372 |
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| Autores principales: | , , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
December 2008
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511429293&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511429293 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: December 2008 vid: 147 iid: 2 pid: 1004 pub: Elsevier Science artinfo: ui: 511429293 10.1016/j.jeconom.2008.09.031 ppf: 359 ppct: 13 formats: tig: atl: A neural network demand system with heteroskedastic errors. aug: au: McAleer, Michael Medeiros, Marcelo C. Slottje, Daniel su: Error analysis in mathematics Variances Artificial neural networks Economic demand Mathematical models sug: subj: Error analysis in mathematics Variances Artificial neural networks Economic demand Mathematical models ab: In this paper we consider estimation of demand systems with flexible functional forms, allowing an error term with a general conditional heteroskedasticity function that depends on observed covariates, such as demographic variables. We propose a general model that can be estimated either by quasi-maximum likelihood (in the case of exogenous regressors) or generalized method of moments (GMM) if the covariates are endogenous. The specification proposed in the paper nests several demand functions in the literature and the results can be applied to the recently proposed Exact Affine Stone Index (EASI) demand system of [Lewbel, A., Pendakur, K., 2008. Tricks with Hicks: The EASI implicit Marshallian demand system for unobserved heterogeneity and flexible Engel curves. American Economic Review (in press)]. Furthermore, flexible nonlinear expenditure elasticities can be estimated. Copyright (c) 2008 Elsevier B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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