Estimating Demand with Varied Levels of Aggregation.

Abstract

The response of consumer demand to prices, income, and other characteristics is important for a range of policy issues. Naturally, the level of detail for which consumer behaviour can be estimated depends on the level of disaggregation of the available data. However, it is often the case that the available data is differently aggregated in different time periods, with the information available in later time periods usually being more detailed. The applied researcher is thus faced with choosing between detail, in which case the more highly aggregated data is ignored; or duration, in which case the data must be aggregated up to the "lowest common denominator". This paper develops a specification/estimation technique that exploits the entire information content of a variably-aggregated data set.Singular demand systems, Linear expenditure system, Almost ideal demand system, Missing data.