This paper introduces a panel GMM framework for identifying and estimating demand elasticities via heteroscedasticity. While existing panel estimators address the simultaneity problem, the state-ofthe-art Feenstra/Soderbery (F/S) estimator suffers from inconsistency, inefficiency, and lacks a...

This paper introduces a panel GMM framework for identifying and estimating demand elasticities via heteroscedasticity. While existing panel estimators address the simultaneity problem, the state-ofthe-art Feenstra/Soderbery (F/S) estimator suffers from inconsistency, inefficiency, and lacks a...