We extend a semi-structural model of household income and consumption to allow for dynamic consumption elasticities with respect to transitory income shocks. Likelihood-based inference for our model accurately estimates consumption insurance against income shocks in simulated data from a...

This paper proposes a new method for estimating random coefficients logit models using aggregate data. The method is applicable for models with discrete-type heterogeneity in consumer tastes when additional data on the total sales for each consumer type are available. The type-level data do not...

We study the impact of realized equity premium and stock market volatility on aggregate gamblingexpenditures. We expect the wealth effect of higher realized returns will increase gambling (enter-tainment good), but also attract gamblers to equity markets, lowering aggregate wagers. Similarly,we...

This paper describes a modelling methodology for multivariate stochastic processes. The concept of multiple causality is discussed and a procedure to detect multiple causality is suggested. The data of a major Canadian supermarket is analyzed and a multivariate autoregressive model for this...

We propose a demand model where consumers simultaneously choose a few different goodsfrom a large menu of available goods, and choose how much to consume of each good. Themodel nests multinomial discrete choice and continuous demand systems as special cases.Goods can be substitutes or...

We consider the identification of empirical models of supply and demand. As is well known, a supply-side instrument can resolve price endogeneity in demand estimation. We show that, under common assumptions, two other approaches also yield consistent estimates of the joint model: (i) a...

This paper is the first attempt towards directly testing the existence of status seeking behavior of the poor for a developing economy, India, with the help of a large dataset. The paper empirically validates status consciousness among the relatively poor for both rural and urban areas across...

We consider a situation where the relatively ‘poor’ are concerned about their relative income status with respect to a relevant reference group. Such a concern is explicitly introduced in a utility function to study the consumption behavior of the poor. We point towards a possible...

This paper is concerned with modelling and estimating panel data autoregressive spatial processes in the framework of minimum distance methods. A contiguity matrix based on distance between points relates observations spatially. The model is estimated in two stages. First, the cross-section...