Arbeitspapier
Semi-nonparametric IV estimation of shape-invariant Engel curves
This paper concerns the identification and estimation of a shape-invariant Engel curve system with endogenous total expenditure. The shape-invariant specification involves a common shift parameter for each demographic group in a pooled system of Engel curves. Our focus is on the identification and estimation of both the nonparametric shape of the Engel curve and the parametric specification of the demographic scaling parameters. We present a new identification condition, closely related to the concept of bounded completeness in statistics. The estimation procedure applies the sieve minimum distance estimation of conditional moment restrictions allowing for endogeneity. We establish a new root mean squared convergence rate for the nonparametric IV regression when the endogenous regressor has unbounded support. Root-n asymptotic normality and semiparametric efficiency of the parametric components are also given under a set of Ѭow-level' sufficient conditions. Monte Carlo simulations shed lights on the choice of smoothing parameters and demonstrate that the sieve IV estimator performs well. An application is made to the estimation of Engel curves using the UK Family Expenditure Survey and shows the importance of adjusting for endogeneity in terms of both the curvature and demographic parameters of systems of Engel curves.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP15/03
- Classification
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Wirtschaft
- Subject
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Mikroökonomische Konsumfunktion
Verbraucherausgaben
Schätztheorie
- Event
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Geistige Schöpfung
- (who)
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Blundell, Richard W.
Chen, Xiaohong
Kristensen, Dennis
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2003
- DOI
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doi:10.1920/wp.cem.2003.1503
- Handle
- Last update
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15.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Blundell, Richard W.
- Chen, Xiaohong
- Kristensen, Dennis
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2003
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