Estimating almost-ideal demand systems with endogenous regressors
2018
Lecocq, Sébastien | Robin, Jean-Marc
In this article, we present the new \texttt{aidsills} command for estimating almost-ideal demand systems and their quadratic extensions. In contrast with Poi's (2012, {\sl Stata Journal} 12: 433--446) \texttt{quaids} command, which is based on the nonlinear \texttt{nlsur} command, {\tt aidsills} uses the computationally attractive iterated linear least-squares estimator developed by Blundell and Robin (1999, {\sl Journal of Applied Econometrics} 14: 209--232). The new command further allows one to account for endogenous prices and total expenditure by using instrumental-variable techniques. Elasticities and their standard errors can be obtained using the \texttt{aidsills\_elas} postestimation command.
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