This paper explores sample size requirements for the estimation of SUR models by (two-stage) feasible generalized least squares, maximum likelihood and Bayesian methods. It is found that the sample size requirements presented in standard treatments of SUR models are incomplete and potentially...

Measuring the costs of children is of immense practical importance in a range of economic and social policy areas. In this paper, we introduce a new econometric procedure that improves on existing methods for obtaining estimates of such costs from a demand system. We develop, using an extended...

Bayesian estimation of a collection of seemingly unrelated regressions, referred to as a ‘set of seemingly unrelated regressions’ is considered. The collection of seemingly unrelated regressions is linked by common coefficients and/or a common error covariance matrix. Gibbs samplers useful...

Share equations for the translog and almost ideal demand systems are estimated using Markov Chain Monte Carlo. A common prior on the elasticities and budget shares evaluated at average prices and income is used for both models. It includes equality restrictions (homogeneity, adding up and...

The objective of this chapter is to provide a practical guide to computer-aided Bayesian inference for a variety of problems that arise in applications of the SUR model. We describe examples of problems, models and algorithms that have been placed within a general framework in the chapter by...

Chambers and Quiggin (2000) advocate the use of state-contingent production technologies to represent risky production and establish important theoretical results concerning producer behaviour under uncertainty. Unfortunately, perceived problems in the estimation of state-contingent models have...

Various inequality and social welfare measures often depend heavily on the choice of a distribution of income. Picking a distribution that best fits the data in some sense involves throwing away information and does not allow for the fact that, by chance, a wrong choice can be made. It also does...

We show how the generalized method of moments (GMM) framework developed in Hajargasht et al. (2012) for estimating income distributions from grouped data can be adapted for estimating mixtures. This approach can be used to estimate a mixture of any distributions where the moments and moment...

The (double) Pareto-lognormal is an emerging parametric distribution for income that has a sound underlying generating process, good theoretical properties, and favourable evidence of its fit to data. We extend existing results for this distribution in 3 directions. We derive closed form formula...

We develop a GMM procedure for estimating income distributions from grouped data with unknown group bounds. The approach enables us to obtain standard errors for the estimated parameters and functions of the parameters, such as inequality and poverty measures, and to test the validity of an...