Semiparametric Estimation of Consumer Demand Systems with Micro Data
针对删失需求系统在分布假设错误时估计有偏的问题，提出一种半参数估计方法，保留两步法计算优势且不受分布误设影响，并用中国海南家庭数据验证。
Abstract Maximum likelihood and two‐step estimators of censored demand systems yield biased and inconsistent parameter estimates when the assumed joint distribution of disturbances is incorrect. This paper proposes a semiparametric estimator that retains the computational advantage of the two‐step approach but is immune to distributional misspecification. The key difference between the proposed estimator and the two‐step estimator is that the parameters of the binary censoring equations are estimated using a distribution‐free single‐index model. We implement the proposed estimator using household‐level data obtained from the Hainan province in China. specification test lends support to our approach.