Consistent Estimation of Censored Demand Systems Using Panel Data
推导了一个联合连续/截断商品需求系统用于面板数据，通过相关随机效应和广义矩方法控制未观测异质性，发现灵活模型与限制模型弹性估计差异小，但与混合截面估计差异大，表明后者难以控制偏好异质性和单位价值内生性。
Abstract We derive a joint continuous/censored commodity demand system for panel data applications. Unobserved heterogeneity is controlled for using a correlated random effects specification and a generalized method of moments framework used to estimate the model. While relatively small differences in elasticity estimates are found between a flexible random effects specification and one that restricts the random effect coefficient to be time invariant, larger differences are observed when comparing the flexible model to a pooled cross‐sectional estimator. The results suggest the limited ability of such estimators to control for preference heterogeneity and unit‐value endogeneity leads to parameter bias.