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Semiparametric Estimation and Inference in a System of Censored Demand Equations

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  • Fahs, Rafic
  • Cardell, N. Scott
  • Mittelhammer, Ronald C.

Abstract

The purpose of this paper is to utilize the generalized method of moments (GMM) approach for estimating a system of multivariate Tobit equations and propose a practical consistent estimator of model parameters. The GMM approach is based on a common set of general marginal and bivariate moment relations that hold between explanatory variables and model noise.

Suggested Citation

  • Fahs, Rafic & Cardell, N. Scott & Mittelhammer, Ronald C., 2001. "Semiparametric Estimation and Inference in a System of Censored Demand Equations," 2001 Annual meeting, August 5-8, Chicago, IL 20482, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea01:20482
    DOI: 10.22004/ag.econ.20482
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    References listed on IDEAS

    as
    1. Amemiya, Takeshi, 1974. "Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal," Econometrica, Econometric Society, vol. 42(6), pages 999-1012, November.
    2. Lee, Lung-Fei & Pitt, Mark M, 1986. "Microeconometric Demand Systems with Binding Nonnegativity Constraints: The Dual Approach," Econometrica, Econometric Society, vol. 54(5), pages 1237-1242, September.
    3. Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
    4. Lee, Lung-Fei & Pitt, Mark M., 1987. "Microeconometric models of rationing, imperfect markets, and non-negativity constraints," Journal of Econometrics, Elsevier, vol. 36(1-2), pages 89-110.
    5. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Demand and Price Analysis;

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