Arbeitspapier
A two-stage pooled panel data estimator of demand elasticities
In a seminal paper, Feenstra (1994) developed an instrumental variable estimator which is becoming increasingly popular for estimating demand elasticities. Soderbery (2015) extended this estimator and created a routine which was shown to be more robust to data outliers when the number of time periods is small or moderate. In this paper, we extend the Feenstra/Soderbery (F/S) estimator along two important dimensions to obtain a more efficient estimator: we handle the cases where there are no simultaneity problems, i.e. when supply is either elastic or inelastic, and we generalize the current practice of choosing a particular reference variety by creating a pooled estimator across all possible reference varieties. Using a Monte Carlo study, we show that our proposed estimator reduces the RMSE compared to the F/S estimator by between 60 and 90 percent across the whole parameter space.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers ; No. 951
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
- Thema
-
Demand elasticity
Panel data
Two-stage estimator
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Thomas von Brasch
Raknerud, Arvid
- Ereignis
-
Veröffentlichung
- (wer)
-
Statistics Norway, Research Department
- (wo)
-
Oslo
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Thomas von Brasch
- Raknerud, Arvid
- Statistics Norway, Research Department
Entstanden
- 2021
Ähnliche Objekte (12)
Identifying the elasticity of substitution between capital and labour: A pooled GMM panel estimator
A Targeted Maximum Likelihood Estimator for Two-Stage Designs
A penalized spline estimator for fixed effects panel data models
A penalized spline estimator for fixed effects panel data models
Estimating Energy Demand Elasticities for OECD Countries. A Dynamic Panel Data Approach
Price elasticities of electricity demand in Switzerland: Results from a household panel
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use?: A corrigendum and extension
Efficiency comparisons for a system GMM estimator in dynamic panel data models
Identifying the elasticity of substitution between capital and labour: A pooled GMM panel estimator
A Targeted Maximum Likelihood Estimator for Two-Stage Designs
A penalized spline estimator for fixed effects panel data models
A penalized spline estimator for fixed effects panel data models
Estimating Energy Demand Elasticities for OECD Countries. A Dynamic Panel Data Approach
Price elasticities of electricity demand in Switzerland: Results from a household panel
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use?: A corrigendum and extension
Efficiency comparisons for a system GMM estimator in dynamic panel data models
Identifying the elasticity of substitution between capital and labour: A pooled GMM panel estimator
A Targeted Maximum Likelihood Estimator for Two-Stage Designs
A penalized spline estimator for fixed effects panel data models
A penalized spline estimator for fixed effects panel data models
Estimating Energy Demand Elasticities for OECD Countries. A Dynamic Panel Data Approach
Price elasticities of electricity demand in Switzerland: Results from a household panel
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use? A corrigendum and extension
Which panel data estimator should I use?: A corrigendum and extension