[R] linear expenditure model

[Arne Henningsen]

On Monday 13 October 2008 09:14:23, Marie Vandresse wrote:
> I have already used  aidsEst() function in the micEcon package for the
> estimation of elasticities.
>
> But with the LES, I plan to estimate the minimal consumption
> level...which is not possible with the AIDS model, do I?

You are right; it is not possible to estimate the minimum consumption level 
with the Almost Ideal Demand System. Unfortunately, I don't see an easy way 
to estimate the LES in R using system estimation techniques. 
BTW: I am not convinced that the estimated parameters of the LES that are the 
minimum consumption levels in theory are good estimates for the actual 
minimum consumption levels in real life.

Arne

> Arne Henningsen wrote:
> > Hi Marie!
> >
> > On Friday 10 October 2008 12:40:23, Marie Vandresse wrote:
> >> I would like to estimate a linear expendire with Systemfit package.
> >> (method: "SUR")
> >
> > If I remember correctly, the "linear expenditure system" (LES) is linear
> > in income but non-linear in the parameters. Hence, you have to estimate a
> > system of non-linear equations. Unfortunately, the nlsystemfit() function
> > in the systemfit package that estimates systems of non-linear equations
> > is still under development and has convergence problems rather often.
> > Since the systemfit() function in the systemfit package that estimates
> > systems of linear equations is very reliable [1], I suggest that you
> > choose a demand system that is linear in parameters (e.g. the Almost
> > Ideal Demand System, AIDS)
> >
> > [1] http://www.jstatsoft.org/v23/i04
> >
> >> As someone could show me how to define the equations?
> >
> > If you use the aidsEst() function in the micEcon package [2], you don't
> > have to specify the equations of the Almost Ideal Demand System yourself.
> >
> > [2] http://www.micEcon.org
> >
> > Best wishes,
> > Arne


-- 
Arne Henningsen
http://www.arne-henningsen.name